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Investment performance measurement

Author: Bruce J Feibel
Publisher: New York ; Chichester : Wiley, 2003.
Edition/Format:   Print book : EnglishView all editions and formats
Summary:

Many investment books include a chapter or two on investment performance measurement or focus on a single aspect, but only one book addresses the breadth of the field. Investment Performance  Read more...

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Document Type: Book
All Authors / Contributors: Bruce J Feibel
ISBN: 0471268496 9780471268499
OCLC Number: 1085219092
Description: 368 pages
Contents: 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.
Responsibility: Bruce J. Feibel.

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