Investment Performance Measurement
Frank J. Fabozzi Series
1. Edition February 2003
368 Pages, Hardcover
Wiley & Sons Ltd
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.
Bruce J. Feibel, CFA, is Product Manager at Eagle
Investment Systems, an investment management software provider
located in Newton, Massachusetts. He is responsible for overseeing
the development of Eagle's investment performance measurement,
attribution, and AIMR/GIPS compliance software. Prior to joining
Eagle, Mr. Feibel was a principal at State Street Global Advisors.
He earned his BS in accounting from the University of Florida.
Acknowledgments.
CHAPTER 1: Investment Performance Measurement.
PART ONE: RETURN MEASUREMENT.
CHAPTER 2: Single Period Return.
CHAPTER 3: Money-Weighted Return.
CHAPTER 4: Time-Weighted Return.
CHAPTER 5: Multiperiod Return.
CHAPTER 6: Adjusting Returns for Impact of Fees, Taxes, and
Currency.
CHAPTER 7: Measuring Relative Return.
PART TWO: RISK MEASUREMENT.
CHAPTER 8: Risk.
CHAPTER 9: Absolute Risk.
CHAPTER 10: Downside Risk.
CHAPTER 11: Relative Risk.
PART THREE: MEASURING RISK-ADJUSTED PERFORMANCE.
CHAPTER 12: Absolute Risk-Adjusted Return.
CHAPTER 13: Downside and Relative Risk-Adjusted Return.
CHAPTER 14: Assessing Skill.
PART FOUR: PERFORMANCE ATTRIBUTION.
CHAPTER 15: Security and Segment Returns.
CHAPTER 16: Effective Exposure Basis Returns.
CHAPTER 17: Contribution Analysis.
CHAPTER 18: Attributing Value Added to Management Decisions.
CHAPTER 19: Strategy-Specific Return Decomposition.
PART FIVE: PERFORMANCE PRESENTATION.
CHAPTER 20: AIMR- and GIPS-Compliant Performance
Presentations.
Appendix: The AIMR Performance Presentation Standards.
Index.
