Beschreibung:
Many investment books include a chapter or two on investmentperformance measurement or focus on a single aspect, but only onebook addresses the breadth of the field. InvestmentPerformance Measurement is a comprehensive guide thatcovers the subjects of performance and risk calculation,attribution, presentation, and interpretation. Thisinformation-packed book covers a wide range of related topics,including calculation of the returns earned by portfolios;measurement of the risks taken to earn these returns; measurementof the risk and return efficiency of the portfolio and otherindicators of manager skill; and much more. By reviewing both theconcepts of performance measurement and examples of how they areused, readers will gain the insight necessary to understand andevaluate the management of investment funds. InvestmentPerformance Measurement makes extensive use of fully workedexamples that supplement formulas and is a perfect companion toprofessional courses and seminars for analysts.Bruce J. Feibel, CFA, is Product Manager at EagleInvestment Systems, an investment management software providerlocated in Newton, Massachusetts. He is responsible for overseeingthe development of Eagle's investment performance measurement,attribution, and AIMR/GIPS compliance software. Prior to joiningEagle, Mr. Feibel was a principal at State Street Global Advisors.He earned his BS in accounting from the University of Florida.
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, andCurrency.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 PerformancePresentations.Appendix: The AIMR Performance Presentation Standards.Index.