Written in a clear and accessible style, with each concept developed through fully worked examples, this book is a valuable guide that provides you with critical insights into many areas of this important step in the investment management cycle.
This straightforward and well–rounded resource provides a step–by–step guide to the processes used by practitioners to analyze the performance of an investment portfolio.
- Calculation of the returns earned by portfolios and portfolio managers
- Measurement of the risks taken to earn these returns
- Measurement of the risk and return efficiency of a portfolio
- Attribution of value added over the benchmark to management decisions
- Presentation and interpretation of returns calculated using industry standards
Filled with in–depth spreadsheet examples, Investment Performance Measurement gives you all the information you′ll need to understand and implement the techniques used to measure the performance of an investment.
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.