Performance Analysis

Gueorgui S. Konstantinov, Frank J. Fabozzi and Joseph S. Simonian

Chapter 11 in Quantitative Global Bond Portfolio Management, 2023, pp 329-348 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The focus of this chapter is on the performance analysis of global bond portfolios. Performance analysis has three basic dimensions: performance measurement, performance attribution, and performance evaluation.Performance measurement involves the calculation of the return realized by a portfolio manager over some interval of time (referred to as the evaluation period) and is the starting point for performance attribution and evaluation. There are several important issues that must be addressed in developing a methodology for calculating a portfolio’s return. There are different methodologies that can be used but these can lead to quite disparate results regarding portfolio performance. To deal with this problem, the CFA Institute has promulgated a set of industry-wide principles, referred to as the Global Investment Performance Standards (GIPS), for calculating and presenting performance results. Return calculations are the primary inputs into performance attribution and evaluation. In addition, performance measurement also involves presenting basic descriptive statistics pertaining to a fund such as the standard deviation, range, skewness, and drawdown…

Keywords: Fixed-Income; Currency Management; Portfolio Management; Risk Management; Factors; Portfolio Optimization; Hedging; Portfolio Evaluation; Performance Attribution (search for similar items in EconPapers)
JEL-codes: G11 G12 G15 (search for similar items in EconPapers)
Date: 2023
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