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Practical Portfolio Performance Measurement and Attribution, with CD-ROM, 2nd Edition


Performance measurement and attribution are key tools in informing investment decisions and strategies. Performance measurement is the quality control of the investment decision process, enabling money managers to calculate return, understand the behaviour of a portfolio of assets, communicate with clients and determine how performance can be improved.

Focusing on the practical use and calculation of performance returns rather than the academic background, Practical Portfolio Performance Measurement and Attribution provides a clear guide to the role and implications of these methods in today’s financial environment, enabling readers to apply their knowledge with immediate effect.

Fully updated from the first edition, this book covers key new developments such as fixed income attribution, attribution of derivative instruments and alternative investment strategies, leverage and short positions, risk-adjusted performance measures for hedge funds plus updates on presentation standards. Complete with a CD containing worked examples for the majority of exhibits, the book covers the mathematical aspects of the topic in an accessible and practical way, making this book an essential reference for anyone involved in asset management.

CARL BACON CIPM, is Chairman of StatPro, a data and software development specialist providing services for the asset management industry. He also runs his own consultancy business providing advice to asset managers on various risk and performance measurement issues.

Prior to joining StatPro, Carl was Director of Risk Control and Performance at Foreign & Colonial Management Ltd., Vice President Head of Performance (Europe) for J P Morgan Investment Management Inc., and Head of Performance for Royal Insurance Asset Management.

Carl holds a B.Sc. Hons. in Mathematics from Manchester University, is an executive committee member of and also an associate tutor for 7city Learning. A founder member of both the Investment Performance Council and GIPS®, Carl is ex-chair of the IPC Interpretations & IPC Verification Sub-Committees, and is a member of the Advisory Board of the Journal of Performance Measurement.

Author of the first edition of Practical Portfolio Performance Measurement & Attribution published in 2004 as part of the Wiley Finance Series, Carl is also Editor of Advanced Portfolio Attribution Analysis.


1. Introduction.

2. The Mathematics of Portfolio Return.

3. Benchmarks.

4. Risk.

5. Performance Attribution.

6. Multi-currency Attribution.

7. Fixed Income Attribution.

8. Multi-period Attribution.

9. Further Attribution Issues.

10. Performance Measurement for Derivatives.

11. Performance Presentation Standards.

Appendix A. Simple Attribution.

Appendix B. Multi-currency Attribution Methodology.

Appendix C. EIPC Guidance for Users of Attribution Analysis.

Appendix D. European Investment Performance Committee - Guidance on Performance Attribution Presentation.

Appendix E. The Global Investment Performance Standards.

Appendix F. Guidance Statement on Composite Definition.

Appendix G. Sample Global Investment Performance Standards Presentation.

Appendix H. Calculation Methodology Guidance Statement.

Appendix I. Definition of Firm Guidance Statement.

Appendix J. Treatment of Carve-outs Guidance Statement.

Appendix K. Significant Cash Flow Guidance Statement.

Appendix L. Guidance Statement on Performance Record Portability.

Appendix M. Guidance Statement on the Use of Supplemental Information.

Appendix N. Guidance Statement on Recordkeeping Requirements of the GIPS Standards.

Appendix O. Useful Websites.