Investment Performance Measurement: Evaluating and Presenting Results
by Editor: Philip Lawton; Editor: Todd JankowskiFormat: eBook
Pub. Date: 2009-04-01
Publisher(s): Wiley
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Summary
Praise for Investment Performance Measurement"This volume contains the insights of more than fifty prominent authorities on performance measurement. It is a must-have, must-read book for anyone involved in measuring, analyzing, or explaining investment results." -John Schlifske, CFA,President and Chief Executive Officer, Russell Investments"Investment Performance Measurement: Evaluating and Presenting Results should be required reading for investors as well as investment performance professionals. This collection conveniently brings together some of the definitive texts on performance and risk analysis that are core to the investment profession." -Frances Barney, CFA,Managing Director, BNY Mellon Asset Servicing Performance & Risk Analytics"It is vitally important that performance analysts remain well versed in the academic work that has been published in their field. This book is unique in that it assembles some of the most important papers in the field of performance measurement into one volume. This book should be read by all performance analysts who are serious about advancing in their field." -Neil Riddles, CFA, CIPM,Hansberger Global Investors, Inc.
Table of Contents
| Foreword | |
| Introduction | |
| Overview of Performance Evaluation | |
| Evaluating Portfolio Performance | |
| Performance Measurement | |
| Benchmarks and Investment Management | |
| The Importance of Index Selection | |
| After-Tax Performance Evaluation | |
| Taxable Benchmarks: The Complexity Increases | |
| Overcoming Cap-Weighted Bond Benchmark Deficiencies | |
| Yield Bogeys | |
| Jumping on the Benchmark Bandwagon | |
| Performance Attribution | |
| Determinants of Portfolio Performance | |
| Determinants of Portfolio Performance II: An Update | |
| Determinants of Portfolio Performance - 20 Years Later | |
| Equity Portfolio Characteristics in Performance Analysis | |
| Mutual Fund Performance: Does Size Matter | |
| Multiperiod Arithmetic Attribution | |
| Optimized Geometric Attribution | |
| Custom Factor Attribution | |
| Return, Risk, and Performance Attribution | |
| Global Asset Management and Performance Attribution | |
| Currency Overlay in Performance Evaluation | |
| Performance Appraisal | |
| On the Performance of Hedge Funds | |
| Funds of Hedge Funds: Performance and Persistence | |
| Hedge Fund Due Diligence | |
| Putting Risk Measurement in Context | |
| Conditional Performance Evaluation, Revisited | |
| Distinguishing True Alpha from Beta | |
| A Portfolio Performance Index | |
| Approximating the Confidence Intervals for Sharpe Style Weights | |
| The Statistics of Sharpe Ratios | |
| Risk-Adjusted Performance: The Correlation Correction | |
| Index Changes and Losses to Index Fund Investors | |
| Information Ratios and Batting Averages | |
| The Information Ratio | |
| Does Asset Allocation Policy Explain 40, 90, or 100 Percent of Performance | |
| Fund Management Changes and Equity Style Shifts | |
| Managing Performance: Monitoring and Transitioning Managers | |
| Does the Emperor Wear Clothes or Not? The Final Word (or Almost) on the Parable of Investment Management | |
| Does Historical Performance Predict Future Performance | |
| Evaluating Fund Performance in a Dynamic Market | |
| Investment Performance Appraisal | |
| Thinking Outside the Box | |
| Global Investment Performance Standards | |
| Global Investment Performance Standards (Ch. 13) | |
| Appendices | |
| Global Investment Performance Standards (GIPS“) | |
| Corrections to GIPS Standards 2005 | |
| About the Research Foundation of CFA Institute | |
| About the Contributors | |
| CFA Ad | |
| Index | |
| Table of Contents provided by Publisher. All Rights Reserved. |
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