Investment Performance Measurement: Evaluating and Presenting Results

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Investment Performance Measurement: Evaluating and Presenting Results

Format:  Hardcover,

970 pages

Publisher: John Wiley & Sons Inc

Publish Date: Apr 2009

ISBN-13: 9780470395028

ISBN-10: 0470395028

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The following content was provided by the publisher.

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.

Specifications

:
:
Publisher: John Wiley & Sons Inc
Publish Date: Apr 2009
ISBN-13: 9780470395028
ISBN-10: 0470395028
Format: Hardcover
Number of Pages: 970
Shipping Weight (in pounds): 3.9
Product in Inches (L x W x H): 7.5 x 10.5 x 2.25

Chapter outline

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

Book description

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.

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