Investment Performance Measurement Evaluating

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.

Philip Lawton, PhD, CFA, CIPM, heads the Certificate in Investment Performance Measurement (CIPM) program at CFA Institute. His previous experience includes serving as vice president at State Street Analytics, where he supported the investment consulting firms that belong to the Independent Consultants Cooperative, and at Citibank, where he headed U.S. performance measurement in Worldwide Securities Services. Lawton is a frequent speaker on institutional investing and performance measurement at industry conferences.

Todd Jankowski, CFA, is Director of Curriculum Development for the Certificate in Investment Performance Measurement (CIPM) program at CFA Institute. Prior to joining CFA Institute, he was head of investment research in the Wealth Management division of Northwestern Mutual Life Insurance Company, where he had earlier held investment management positions in the Retail Advisory and Institutional Private Placement divisions.

Foreword
Introduction
Overview of Performance Evaluation.
Evaluating Portfolio Performance
Performance Measurement.
Benchmarks and Investment Management
The Importance of Index Selection
After-Tax Performance Evaluation
Taxable Benchmarks: The Complexity Increases
Overcoming Cap-Weighted Bond Benchmark Deficiencies
Yield Bogeys
Jumping on the Benchmark Bandwagon
Performance Attribution.
Determinants of Portfolio Performance
Determinants of Portfolio Performance II: An Update
Determinants of Portfolio Performance - 20 Years Later
Equity Portfolio Characteristics in Performance Analysis
Mutual Fund Performance: Does Size Matter
Multiperiod Arithmetic Attribution
Optimized Geometric Attribution
Custom Factor Attribution
Return, Risk, and Performance Attribution
Global Asset Management and Performance Attribution
Currency Overlay in Performance Evaluation
Performance Appraisal.
On the Performance of Hedge Funds
Funds of Hedge Funds: Performance and Persistence
Hedge Fund Due Diligence
Putting Risk Measurement in Context
Conditional Performance Evaluation, Revisited
Distinguishing True Alpha from Beta
A Portfolio Performance Index
Approximating the Confidence Intervals for Sharpe Style Weights
The Statistics of Sharpe Ratios
Risk-Adjusted Performance: The Correlation Correction
Index Changes and Losses to Index Fund Investors
Information Ratios and Batting Averages
The Information Ratio
Does Asset Allocation Policy Explain 40, 90, or 100 Percent of Performance
Fund Management Changes and Equity Style Shifts
Managing Performance: Monitoring and Transitioning Managers
Does the Emperor Wear Clothes or Not? The Final Word (or Almost) on the Parable of Investment Management
Does Historical Performance Predict Future Performance
Evaluating Fund Performance in a Dynamic Market
Investment Performance Appraisal
Thinking Outside the Box
Global Investment Performance Standards.
Global Investment Performance Standards (Ch. 13)
Appendices
Global Investment Performance Standards (GIPS“)
Corrections to GIPS Standards 2005
About the Research Foundation of CFA Institute
About the Contributors
CFA Ad
Index
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Investment Performance Measurement Evaluating and Presenting Results

Summary

Author Biography

Table of Contents

Supplemental Materials