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Performance Analysis

In: Quantitative Global Bond Portfolio Management

Author

Listed:
  • Gueorgui S. Konstantinov
  • Frank J. Fabozzi
  • Joseph S. Simonian

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…

Suggested Citation

  • Gueorgui S. Konstantinov & Frank J. Fabozzi & Joseph S. Simonian, 2023. "Performance Analysis," World Scientific Book Chapters, in: Quantitative Global Bond Portfolio Management, chapter 11, pages 329-348, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789811272578_0011
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    More about this item

    Keywords

    Fixed-Income; Currency Management; Portfolio Management; Risk Management; Factors; Portfolio Optimization; Hedging; Portfolio Evaluation; Performance Attribution;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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