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Investment Performance Measurement

ISBN: 978-0-471-26849-9
Hardcover
368 pages
February 2003
List Price: US $130.00
Government Price: US $66.30
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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.

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