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Investment performance measurement

Author: Bruce J Feibel
Publisher: Hoboken (N.J.) : J. Wiley, cop. 2003.
Series: Frank J. Fabozzi series.
Edition/Format:   Print book : EnglishView all editions and formats
Investment performance measurement is the quantification of the results achieved by an investment program. Understanding performance measurement is vital for anyone who participates in the investment process. Investment Performance Measurement is a comprehensive and integrated survey of the steps taken to measure performance as well as a reference guide to the calculation and interpretation of the various risk and  Read more...

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Document Type: Book
All Authors / Contributors: Bruce J Feibel
ISBN: 0471268496 9780471268499
OCLC Number: 441619880
Description: XIII, 353 str. : ilustr. ; 24 cm.
Contents: Preface ; Acknowledgments ; 1: Investment Performance Measurement ; I: RETURN MEASUREMENT ; 2: Single Period Return ; 3: Money-Weighted Return ; 4: Time-Weighted Return ; 5: Multiperiod Return ; 6: Adjusting Returns for Impact of Fees, Taxes, and Currency ; 7: Measuring Relative Return ; II: RISK MEASUREMENT ; 8: Risk; 9: Absolute Risk ; 10: Downside Risk ; 11: Relative Risk ; III: MEASURING RISK-ADJUSTED PERFORMANCE ; 12: Absolute Risk-Adjusted Return ; 13: Downside and Relative Risk-Adjusted Return ; 14: Assessing Skill ; IV: PERFORMANCE ATTRIBUTION ; 15: Security and Segment Returns ; 16: Effective Exposure Basis Returns ; 17: Contribution Analysis ; 18: Attributing Value Added to Management Decisions ; 19: Strategy-Specific Return Decomposition ;V: PERFORMANCE PRESENTATION ; 20: AIMR- and GIPS-Compliant Performance Presentations ; Appendix: The AIMR Performance Presentation Standards ; Index.
Series Title: Frank J. Fabozzi series.
Responsibility: Bruce J. Feibel.


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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