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Investment Performance Measurement
Evaluating and Presenting Results
Philip Lawton, CIPM (Edited by), Todd Jankowski, CFA (Edited by)
9780470395028, Wiley
Hardback, published 15 May 2009
992 pages
25.9 x 18.8 x 6.1 cm, 1.905 kg
Investment Performance Measurement Over the past two decades, the importance of measuring, presenting, and evaluating investment performance results has dramatically increased. With the growth of capital market data services, the development of quantitative analytical techniques, and the widespread acceptance of Global Investment Performance Standards (GIPS®), this discipline has emerged as a central component of effective asset management and, thanks in part to the Certificate in Investment Performance Measurement (CIPM) program, has become a recognized area of specialization for investment professionals. That's why Investment Performance Measurement: Evaluating and Presenting Resultsthe second essential title in the CFA Institute Investment Perspectives serieshas been created. CFA Institute has a long tradition of publishing content from industry thought leaders, and now this new collection offers unparalleled guidance to those working in the rapidly evolving field of investment management. Drawing from the Research Foundation of CFA Institute, the Financial Analysts Journal, CFA Institute Conference Proceedings Quarterly, CFA Magazine, and the CIPM curriculum, this reliable resource taps into the vast store of knowledge of some of today's most prominent thought leadersfrom industry professionals to respected academicswho have focused on investment performance evaluation for a majority of their careers. Divided into five comprehensive parts, this timely volume opens with an extensive overview of performance measurement, attribution, and appraisal. Here, you'll become familiar with everything from the algebra of time-weighted and money-weighted rates of return to the objectives and techniques of performance appraisal. After this informative introduction, Investment Performance Measurement moves on to: Filled with invaluable insights from more than fifty experienced contributors, this practical guide will enhance your understanding of investment performance measurement and put you in a better position to present and evaluate results in the most effective way possible.
Foreword xi Introduction 1 Part I: Overview of Performance Evaluation Chapter 1 Evaluating Portfolio Performance 11 Part II: Performance Measurement Chapter 2 Benchmarks and Investment Management 81 Chapter 3 The Importance of Index Selection 189 Chapter 4 After-Tax Performance Evaluation 203 Chapter 5 Taxable Benchmarks: The Complexity Increases 217 Chapter 6 Overcoming Cap-Weighted Bond Benchmark Deficiencies 233 Chapter 7 Yield Bogeys 251 Chapter 8 Jumping on the Benchmark Bandwagon: Benchmark Methodologies Are the Subject of Vigorous Debate 259 Part III: Performance Attribution Chapter 9 Determinants of Portfolio Performance 267 Chapter 10 Determinants of Portfolio Performance II: An Update 277 Chapter 11 Determinants of Portfolio Performance—20 Years Later 289 Chapter 12 Equity Portfolio Characteristics in Performance Analysis 293 Chapter 13 Mutual Fund Performance: Does Fund Size Matter? 307 Chapter 14 Multiperiod Arithmetic Attribution 327 Chapter 15 Optimized Geometric Attribution 351 Chapter 16 Custom Factor Attribution 367 Chapter 17 Return, Risk, and Performance Attribution 387 Chapter 18 Global Asset Management and Performance Attribution 397 Chapter 19 Currency Overlay in Performance Evaluation 457 Part IV: Performance Appraisal Chapter 20 On the Performance of Hedge Funds 481 Chapter 21 Funds of Hedge Funds: Performance and Persistence 501 Chapter 22 Hedge Fund Due Diligence: Putting Together the Pieces of the Mosaic Helps Reveal Operational Risks 513 Chapter 23 Putting Risk Measurement in Context: Why One Size Does Not Fit All 517 Chapter 24 Conditional Performance Evaluation, Revisited 521 Chapter 25 Distinguishing True Alpha from Beta 591 Chapter 26 A Portfolio Performance Index 605 Chapter 27 Approximating the Confidence Intervals for Sharpe Style Weights 619 Chapter 28 The Statistics of Sharpe Ratios 629 Chapter 29 Risk-Adjusted Performance: The Correlation Correction 653 Chapter 30 Index Changes and Losses to Index Fund Investors 669 Chapter 31 Information Ratios and Batting Averages 693 Chapter 32 The Information Ratio 705 Chapter 33 Does Asset Allocation Policy Explain 40, 90, or 100 Percent of Performance? 719 Chapter 34 Fund Management Changes and Equity Style Shifts 731 Chapter 35 Managing Performance: Monitoring and Transitioning Managers 745 Chapter 36 Does the Emperor Wear Clothes or Not? The Final Word (or Almost) on the Parable of Investment Management 757 Chapter 37 Does Historical Performance Predict Future Performance? 767 Chapter 38 Evaluating Fund Performance in a Dynamic Market 785 Chapter 39 Investment Performance Appraisal 799 Chapter 40 Thinking Outside the Box: Risk Management Firms Put a Creative Spin on Coupling Theory with Practice 815 Part V: Global Investment Performance Standards Chapter 41 Global Investment Performance Standards 825 Appendix A Global Investment Performance Standards (GIPS®) 899 Appendix B Corrections to GIPS Standards 2005: Last Updated October 31, 2006 951 About the Contributors 953 Index 956
Robert R. Johnson, CFA
Philip Lawton, CFA, CIPM, and Todd Jankowski, CFA
Jeffery V. Bailey, CFA, Thomas M. Richards, CFA, and David E. Tierney
Reprinted from Managing Investment Portfolios: A Dynamic Process, 3rd Edition (John Wiley & Sons, 2007):717–780.
Laurence B. Siegel
Reprinted from the Research Foundation of CFA Institute (2003).
Christopher G. Luck, CFA
Reprinted from AIMR Conference Proceedings: Benchmarks and Attribution Analysis
(June 2001):4–12.
James M. Poterba
Reprinted from AIMR Conference Proceedings: Investment Counseling for Private Clients II (August 2000):58–67.
Lee N. Price, CFA
Reprinted from AIMR Conference Proceedings: Investment Counseling for Private Clients III (August 2001):54–64.
William L. Nemerever, CFA
Reprinted from CFA Institute Conference Proceedings Quarterly (December 2007):55–66.
Brent Ambrose and Arthur Warga
Reprinted from Financial Analysts Journal (September/October 1996):63–68.
Crystal Detamore-Rodman
Reprinted from CFA Magazine (January/February 2004):54–55.
Gary P. Brinson, L. Randolph Hood, CFA, and Gilbert L. Beebower
Reprinted from Financial Analysts Journal (July/August 1986):39–44.
Gary P. Brinson, Brian D. Singer, CFA, and Gilbert L. Beebower
Reprinted from Financial Analysts Journal (May/June 1991):40–48.
L. Randolph Hood, CFA
Reprinted from Financial Analysts Journal (September/October 2005):6–8.
Stephen C. Gaudette, CFA, and Philip Lawton, CFA, CIPM
Reprinted from CFA Institute (2007).
Daniel C. Indro, Christine X. Jiang, Michael Y. Hu, and Wayne Y. Lee
Reprinted from the Financial Analysts Journal (May/June 1999):74–87.
José Menchero, CFA
Reprinted from the Financial Analysts Journal (July/August 2004):76–91.
José Menchero, CFA
Reprinted from the Financial Analysts Journal (July/August 2005):60–69.
José Menchero, CFA, and Vijay Poduri, CFA
Reprinted from the Financial Analysts Journal (March/April 2008):81–92.
Kevin Terhaar, CFA
Reprinted from AIMR Conference Proceedings: Benchmarks and Attribution Analysis
(June 2001):21–27.
Denis S. Karnosky and Brian D. Singer, CFA
Reprinted from The Research Foundation of CFA Institute (February 1994).
Cornelia Paape
Reprinted from Financial Analysts Journal (March/April 2003):55–68.
Bing Liang
Reprinted from the Financial Analysts Journal (July/August 1999):72–85.
Stan Beckers
Reprinted from CFA Institute Conference Proceedings Quarterly (June 2007):25–33.
Cynthia Harrington, CFA
Reprinted from CFA Magazine (May/June 2003):54–55.
Cynthia Harrington, CFA
Reprinted from CFA Magazine (March/April 2004):44–45.
Wayne E. Ferson and Meijun Qian
Reprinted from the Research Foundation of CFA Institute (September 2004).
Laurence B. Siegel
Reprinted from CFA Institute Conference Proceedings: Challengesand Innovation in Hedge Fund Management (July 2004):20–29.
Michael Stutzer
Reprinted from the Financial Analysts Journal (May/June 2000):52–61.
Angelo Lobosco and Dan DiBartolomeo
Reprinted from Financial Analysts Journal (July/August 1997):80–85.
Andrew W. Lo
Reprinted from the Financial Analysts Journal (July/August 2002):36–52.
Arun S. Muralidhar
Reprinted with updates from the Financial Analysts Journal (September/ October 2000):63–71.
Honghui Chen, Gregory Noronha, CFA, and Vijay Singal, CFA
Reprinted from the Financial Analysts Journal (July/August 2006):31–47.
Neil Constable and Jeremy Armitage, CFA
Reprinted from the Financial Analysts Journal (May/June 2006):24–31.
Thomas H. Goodwin
Reprinted from the Financial Analysts Journal (July/August 1998):34–43.
Roger G. Ibbotson and Paul D. Kaplan
Reprinted from the Financial Analysts Journal (January/February 2000):26–33.
John G. Gallo and Larry J. Lockwood
Reprinted from Financial Analysts Journal (September/October 1999):44–52.
Louisa Wright Sellers
Reprinted from AIMR Conference Proceedings: Investment Counseling for Private Clients IV (August 2002):32–39.
Philip Halpern, Nancy Calkins, and Tom Ruggels
Reprinted from Financial Analysts Journal (July/August 1996):9–15.
Ronald N. Kahn and Andrew Rudd
Reprinted from Financial Analysts Journal (November/December 1995):43–52.
Wayne E. Ferson and Vincent A. Warther
Reprinted from Financial Analysts Journal (November/December 1996):20–28.
John P. Meier, CFA
Reprinted from CFA Institute (2008).
Susan Trammell, CFA
Reprinted from CFA Magazine (March/April 2004):32–35.
Philip Lawton, CFA, CIPM, and W. Bruce Remington, CFA
Reprinted from Managing Investment Portfolios: A Dynamic Process, 3 ed. (John Wiley & Sons, 2007):783–855.
Reprinted from the CFA Institute Centre for Financial Market Integrity (February 2005).
Subject Areas: Finance & accounting [KF]
