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Investment Performance Measurement


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Table of Contents

Preface. 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.

About the Author

BRUCE J. FEIBEL, CFA, is the Product Manager of Performance Measurement Technology at Eagle Investment Systems, an investment management software provider located in Newton, Massachusetts. Prior to joining Eagle, Feibel was a principal at State Street Global Advisors. He earned a BS in accounting from the University of Florida.

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