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By Christopher G. Luck, Thomas M. Richards, Kevin Terhaar, Jeffrey V. Bailey, Wayne A. Kozun, Lee N. Price

ISBN-10: 0935015647

ISBN-13: 9780935015645

Funding functionality, no matter if of portfolios or person managers, can't be evaluated and not using a functionality yardstick (i.e., a benchmark); in spite of the fact that, deciding on the incorrect benchmark could be as destructive as terrible portfolio administration. The authors during this lawsuits talk about what constitutes a suitable benchmark, tips to decide upon acceptable benchmarks, and the way to behavior attribution research, either possibility and go back.

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Using current assets—everything in the portfolio, whether a stock, bond, foreign exchange forward, option, or future—we calculate the daily profit and loss (the difference between these numbers is the surplus risk) for the portfolio for each day from October 31, 1986, to the present. This process allows us to see what the profit on our current portfolio was on particularly risky days, such as those experienced in 1987 and 1991. Performance is reported on a total portfolio basis, but it can be broken down into subportfolios.

For this fund, the result is essentially the same in all periods: Investment decision making added value. , net flow and style bias for the 10-year period). Total Fund Benchmarks A single correct total fund benchmark does not exist, because the benchmark depends on the context of the analysis. The liability stream of a pension fund could be used as a benchmark for a long period of time, for example. That is, a company maintains a pension fund to pay its promised retirement benefits, so the liability stream of the fund might be a reasonable, very long-run benchmark for the fund to use.

The problem was that these outdated asset allocation rules did not consider the portfolio in its entirety or the effect that relationships, such as correlations, can have on the aggregate risk of the portfolio. We learned quickly that risk should be analyzed at as high and broad a level as possible. When risk is evaluated at a low level, such as that of the individual manager or portfolio, an excessive number of constraints have to be considered. But when risk is looked at from a larger perspective or in a broader type of framework, many of these constraints disappear or are diversified away because of imperfectly correlated assets.

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Benchmarks and Attribution Analysis by Christopher G. Luck, Thomas M. Richards, Kevin Terhaar, Jeffrey V. Bailey, Wayne A. Kozun, Lee N. Price


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