Investment Performance Measurement

Bruce J. Feibel9780471268499, 0471268496

Many investment books include a chapter or two on investment performance measurement or focus on a single aspect, but only one book addresses the breadth of the field. Investment Performance Measurement is a comprehensive guide that covers the subjects of performance and risk calculation, attribution, presentation, and interpretation. This information-packed book covers a wide range of related topics, including calculation of the returns earned by portfolios; measurement of the risks taken to earn these returns; measurement of the risk and return efficiency of the portfolio and other indicators of manager skill; and much more. By reviewing both the concepts of performance measurement and examples of how they are used, readers will gain the insight necessary to understand and evaluate the management of investment funds. Investment Performance Measurement makes extensive use of fully worked examples that supplement formulas and is a perfect companion to professional courses and seminars for analysts.

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Table of contents :
Investment Performance measurement……Page 5
Copyright……Page 6
contents……Page 7
preface……Page 11
acknowledgments……Page 15
CHAPTER 1
Investment Performance Measurement……Page 17
PART ONE
Return Measurement……Page 29
CHAPTER 2
Single Period Return……Page 31
CHAPTER 3
Money-Weighted Return……Page 53
CHAPTER 4
Time-Weighted Return……Page 61
CHAPTER 5
Multiperiod Return……Page 71
CHAPTER 6
Adjusting Returns for Impact of Fees, Taxes, and Currency……Page 85
CHAPTER 7
Measuring Relative Return……Page 113
PART TWO
Risk Measurement……Page 137
CHAPTER 8
Risk……Page 139
CHAPTER 9
Absolute Risk……Page 147
CHAPTER 10
Downside Risk……Page 171
CHAPTER 11
Relative Risk……Page 181
PART THREE
Measuring Risk-Adjusted Performance……Page 197
CHAPTER 12
Absolute Risk-Adjusted Return……Page 199
CHAPTER 13
Downside and Relative Risk-Adjusted Return……Page 215
CHAPTER 14
Assessing Skill……Page 219
PART FOUR
Performance Attribution……Page 229
CHAPTER 15
Security and Segment Returns……Page 231
CHAPTER 16
Effective Exposure Basis Returns……Page 259
CHAPTER 17
Contribution Analysis 255……Page 271
CHAPTER 18
Attributing Value Added to Management Decisions……Page 281
CHAPTER 19
Strategy-Speci.c Return Decomposition……Page 301
PART FIVE
Performance Presentation……Page 321
CHAPTER 20
AIMR- and GIPS-Compliant Performance Presentations……Page 323
APPENDIX
The AIMR Performance Presentation Standards……Page 347
index……Page 357