Investment Performance Measurement: Evaluating and Presenting Results

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.

Spis treści:
Foreword (Robert R. Johnson, CFA).
Introduction (Philip Lawton, CFA, CIPM, and Todd Jankowski, CFA).
PART I: OVERVIEW OF PERFORMANCE EVALUATION.
CHAPTER 1 Evaluating Portfolio Performance (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.
PART II: PERFORMANCE MEASUREMENT.
CHAPTER 2 Benchmarks and Investment Management (Laurence B. Siegel).
Reprinted from the Research Foundation of CFA Institute (2003).
CHAPTER 3 The Importance of Index Selection (Christopher G. Luck, CFA).Reprinted from AIMR Conference Proceedings: Benchmarks and Attribution Analysis(June 2001):4–12.
CHAPTER 4 After–Tax Performance Evaluation (James M. Poterba).
Reprinted from AIMR Conference Proceedings: Investment Counseling for Private Clients II (August 2000):58–67.
CHAPTER 5 Taxable Benchmarks: The Complexity Increases (Lee N. Price, CFA).
Reprinted from AIMR Conference Proceedings: Investment Counseling for Private Clients III (August 2001):54–64.
CHAPTER 6 Overcoming Cap–Weighted Bond Benchmark Deficiencies (William L. Nemerever, CFA).
Reprinted from CFA Institute Conference Proceedings Quarterly (December 2007):55–66.
CHAPTER 7 Yield Bogeys (Brent Ambrose and Arthur Warga).
Reprinted from Financial Analysts Journal (September/October 1996):63–68.
CHAPTER 8 Jumping on the Benchmark Bandwagon: Benchmark Methodologies Are the Subject of Vigorous Debate (Crystal Detamore–Rodman).
Reprinted from CFA Magazine (January/February 2004):54–55.
PART III: PERFORMANCE ATTRIBUTION.
CHAPTER 9 Determinants of Portfolio Performance (Gary P. Brinson, L. Randolph Hood, CFA, and Gilbert L. Beebower).
Reprinted from Financial Analysts Journal (July/August 1986):39–44.
CHAPTER 10 Determinants of Portfolio Performance II: An Update (Gary P. Brinson, Brian D. Singer, CFA, and Gilbert L. Beebower).
Reprinted from Financial Analysts Journal (May/June 1991):40–48.
CHAPTER 11 Determinants of Portfolio Performance—20 Years Later (L. Randolph Hood, CFA).
Reprinted from Financial Analysts Journal (September/October 2005):6–8.
CHAPTER 12 Equity Portfolio Characteristics in Performance Analysis (Stephen C. Gaudette, CFA, and Philip Lawton, CFA, CIPM).
Reprinted from C FA Institute (2007).
CHAPTER 13 Mutual Fund Performance: Does Fund Size Matter (Daniel C. Indro, Christine X. Jiang, Michael Y. Hu, and Wayne Y. Lee)?
Reprinted from the Financial Analysts Journal (May/June 1999):74–87.
CHAPTER 14 Multiperiod Arithmetic Attribution (José Menchero, CFA).
Reprinted from the Financial Analysts Journal ( July/August 2004):76–91.
CHAPTER 15 Optimized Geometric Attribution (José Menchero, CFA).
Reprinted from the Financial Analysts Journal ( July/August 2005):60–69.
CHAPTER 16 Custom Factor Attribution (José Menchero, CFA, and Vijay Poduri, CFA).
Reprinted from the Financial Analysts Journal (March/April 2008):81–92.
CHAPTER 17 Return, Risk, and Performance Attribution (Kevin Terhaar, CFA).
Reprinted from AIMR Conference Proceedings: Benchmarks and Attribution Analysis (June 2001):21–27.
CHAPTER 18 Global Asset Management and Performance Attribution (Denis S. Karnosky and Brian D. Singer, CFA).
Reprinted from The Research Foundation of CFA Institute (February 1994).
CHAPTER 19 Currency Overlay in Performance Evaluation (Cornelia Paape).
Reprinted from Financial Analysts Journal (March/April 2003):55–68.
PART IV: PERFORMANCE APPRAISAL.
CHAPTER 20 On the Performance of Hedge Funds (Bing Liang).
Reprinted from the Financial Analysts Journal (July/August 1999):72–85.
CHAPTER 21 Funds of Hedge Funds: Performance and Persistence (Stan Beckers).
Reprinted from CFA Institute Conference Proceedings Quarterly (June 2007):25–33.
CHAPTER 22 Hedge Fund Due Diligence: Putting Together the Pieces of the Mosaic Helps Reveal Operational Risks (Cynthia Harrington, CFA).
Reprinted from CFA Magazine (May/June 2003):54–55.
CHAPTER 23 Putting Risk Measurement in Context: Why One Size Does Not Fit All (Cynthia Harrington, CFA).
Reprinted from CFA Magazine (March/April 2004):44–45.
CHAPTER 24 Conditional Performance Evaluation, Revisited (Wayne E. Ferson and Meijun Qian).
Reprinted from the Research Foundation of CFA Institute (September 2004).
CHAPTER 25 Distinguishing True Alpha from Beta (Laurence B. Siegel).
Reprinted from CFA Institute Conference Proceedings: Challenges and Innovation in Hedge Fund Management ( July 2004):20–29.
CHAPTER 26 A Portfolio Performance Index (Michael Stutzer).
Reprinted from the Financial Analysts Journal (May/June 2000):52–61.
CHAPTER 27 Approximating the Confi dence Intervals for Sharpe Style Weights (Angelo Lobosco and Dan DiBartolomeo).
Reprinted from Financial Analysts Journal ( July/August 1997):80–85.
CHAPTER 28 The Statistics of Sharpe Ratios (Andrew W. Lo).
Reprinted from the Financial Analysts Journal (July/August 2002):36–52.
CHAPTER 29 Risk–Adjusted Performance: The Correlation Correction (Arun S. Muralidhar).
Reprinted with updates from the Financial Analysts Journal (September/October 2000):63–71.
CHAPTER 30 Index Changes and Losses to Index Fund Investors (Honghui Chen, Gregory Noronha, CFA, and Vijay Singal, CFA).
Reprinted from the Financial Analysts Journal (July/August 2006):31–47.
CHAPTER 31 Information Ratios and Batting Averages (Neil Constable and Jeremy Armitage, CFA).
Reprinted from the Financial Analysts Journal (May/June 2006):24–31.
CHAPTER 32 The Information Ratio (Thomas H. Goodwin).
Reprinted from the Financial Analysts Journal (July/August 1998):34–43.
CHAPTER 33 Does Asset Allocation Policy Explain 40