With the growth of capital market data services, the development of quantitative analytical techniques, and the widespread acceptance of the Global Investment Performance Standards (GIPS), performance analysis has emerged as a central component of effective asset management and become a recognized area of specialization for investment professionals. Filled with in-depth insights and expert advice, "Investment Performance Measurement" brings together the best of CFA Institute's publications to cover such issues as benchmark construction and selection, performance attribution analysis, performance appraisal, and performance presentation. Philip Lawton, PhD, CFA, CIPM, MBA (Charlottesville, VA), heads the Certificate in Investment Performance Measurement (CIPM) program at CFA Institute. Todd A. Jankowski, CFA, MBA (Charlottesville, VA), is Director of Curriculum Development for CFA's CIPM program. Research Foundation of the CFA Institute (Charlottesville, VA) encourages education for investment practitioners worldwide and funds, publishes, and distributes relevant research. The Foundation emphasizes research of practical value to investment professionals, while exploring new and challenging topics that provide a unique perspective in the rapidly evolving profession of investment management.
Foreword by Robert R. Johnson
Introduction by Philip Lawton and Todd Jankowski
Pt. I Overview of Performance Evaluation
Ch. 1 Evaluating Portfolio Performance by Jeffery V. Bailey and Thomas M. Richards and David E. Tierney
Pt. II Performance Measurement
Ch. 2 Benchmarks and Investment Management by Laurence B. Siegel
Ch. 3 The Importance of Index Selection by Christopher G. Luck
Ch. 4 After-Tax Performance Evaluation by James M. Poterba
Ch. 5 Taxable Benchmarks: The Complexity Increases by Lee N. Price
Ch. 6 Overcoming Cap-Weighted Bond Benchmark Deficiencies by William L. Nemerever
Ch. 7 Yield Bogeys by Brent Ambrose and Arthur Warga
Ch. 8 Jumping on the Benchmark Bandwagon: Benchmark Methodologies Are the Subject of Vigorous Debate by Crystal Detamore-Rodman
Pt. III Performance Attribution
Ch. 9 Determinants of Portfolio Performance by Gary P. Brinson and L. Randolph Hood and Gilbert L. Beebower
Ch. 10 Determinants of Portfolio Performance II: An Update by Gary P. Brinson and Brian D. Singer and Gilbert L. Beebower
Ch. 11 Determinants of Portfolio Performance - 20 Years Later by L. Randolph Hood
Ch. 12 Equity Portfolio Characteristics in Performance Analysis by Stephen C. Gaudette and Philip Lawton
Ch. 13 Mutual Fund Performance: Does Fund Size Matter? by Daniel C. Indro and Christine X. Jiang and Michael Y. Hu and Wayne Y. Lee
Ch. 14 Multiperiod Arithmetic Attribution by Jose Menchero
Ch. 15 Optimized Geometric Attribution by Jose Menchero
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