{"product_id":"investment-performance-measurement-isbn-9780470395028","title":"Investment Performance Measurement","description":"\u003cp\u003e\u003cb\u003eInvestment Performance Measurement\u003c\/b\u003e \u003c\/p\u003e\u003cp\u003eOver 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\u003csup\u003e®\u003c\/sup\u003e), 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.  \u003c\/p\u003e\u003cp\u003eThat's why \u003ci\u003eInvestment Performance Measurement: Evaluating and Presenting Results\u003c\/i\u003e—the second essential title in the CFA Institute Investment Perspectives series—has 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.  \u003c\/p\u003e\u003cp\u003eDrawing from the Research Foundation of CFA Institute, the \u003ci\u003eFinancial Analysts Journal,\u003c\/i\u003e CFA \u003ci\u003eInstitute Conference Proceedings Quarterly,\u003c\/i\u003e CFA \u003ci\u003eMagazine,\u003c\/i\u003e and the CIPM curriculum, this reliable resource taps into the vast store of knowledge of some of today's most prominent thought leaders—from industry professionals to respected academics—who have focused on investment performance evaluation for a majority of their careers.  \u003c\/p\u003e\u003cp\u003eDivided 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.  \u003c\/p\u003e\u003cp\u003eAfter this informative introduction, \u003ci\u003eInvestment Performance Measurement\u003c\/i\u003e moves on to:  \u003c\/p\u003e\u003cul\u003e \u003cli\u003eProvide a solid understanding of the theoretical grounds for benchmarking and the trade-offs encountered during practice in Part II: Performance Measurement\u003c\/li\u003e \u003cli\u003eDescribe the different aspects of attribution analysis as well as the determinants of portfolio performance in Part III: Performance Attribution\u003c\/li\u003e \u003cli\u003eAddress everything from hedge fund risks and returns to fund management changes and equity style shifts in Part IV: Performance Appraisal\u003c\/li\u003e \u003cli\u003eRecount the history and explain the provisions of the GIPS standards—with attention paid to the many practical issues that arise in the course of its implementation—in Part V: Global Investment Performance Standards\u003c\/li\u003e \u003c\/ul\u003e  \u003cp\u003eFilled 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. \u003c\/p\u003e\u003cp\u003eForeword xi\u003cbr\u003e \u003ci\u003eRobert R. Johnson\u003c\/i\u003e, CFA\u003c\/p\u003e \u003cp\u003eIntroduction 1\u003cbr\u003e \u003ci\u003ePhilip Lawton, \u003c\/i\u003eCFA, CIPM, \u003ci\u003eand Todd Jankowski\u003c\/i\u003e, CFA\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart I: Overview of Performance Evaluation\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eChapter 1 Evaluating Portfolio Performance 11\u003cbr\u003e \u003ci\u003eJeffery V. Bailey, \u003c\/i\u003eCFA,\u003ci\u003e Thomas M. Richards, \u003c\/i\u003eCFA,\u003ci\u003e and David E. Tierney\u003cbr\u003e \u003c\/i\u003eReprinted from Managing Investment Portfolios: A Dynamic Process, 3rd Edition (John Wiley \u0026amp; Sons, 2007):717–780.\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart II: Performance Measurement\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eChapter 2 Benchmarks and Investment Management 81\u003cbr\u003e \u003ci\u003eLaurence B. Siegel\u003cbr\u003e \u003c\/i\u003eReprinted from the Research Foundation of CFA Institute (2003).\u003c\/p\u003e \u003cp\u003eChapter 3 The Importance of Index Selection 189\u003cbr\u003e \u003ci\u003eChristopher G. Luck, \u003c\/i\u003eCFA\u003ci\u003e\u003cbr\u003e \u003c\/i\u003eReprinted from AIMR Conference Proceedings: Benchmarks and Attribution Analysis\u003cbr\u003e (June 2001):4–12.\u003c\/p\u003e \u003cp\u003eChapter 4 After-Tax Performance Evaluation 203\u003cbr\u003e \u003ci\u003eJames M. Poterba\u003cbr\u003e \u003c\/i\u003eReprinted from AIMR Conference Proceedings: Investment Counseling for Private Clients II (August 2000):58–67.\u003c\/p\u003e \u003cp\u003eChapter 5 Taxable Benchmarks: The Complexity Increases 217\u003cbr\u003e \u003ci\u003eLee N. Price, \u003c\/i\u003eCFA\u003ci\u003e\u003cbr\u003e \u003c\/i\u003eReprinted from AIMR Conference Proceedings: Investment Counseling for Private Clients III (August 2001):54–64.\u003c\/p\u003e \u003cp\u003eChapter 6 Overcoming Cap-Weighted Bond Benchmark Deficiencies 233\u003cbr\u003e \u003ci\u003eWilliam L. Nemerever, \u003c\/i\u003eCFA\u003ci\u003e\u003cbr\u003e \u003c\/i\u003eReprinted from CFA Institute Conference Proceedings Quarterly (December 2007):55–66.\u003c\/p\u003e \u003cp\u003eChapter 7 Yield Bogeys 251\u003cbr\u003e \u003ci\u003eBrent Ambrose and Arthur Warga\u003cbr\u003e \u003c\/i\u003eReprinted from Financial Analysts Journal (September\/October 1996):63–68\u003ci\u003e.\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eChapter 8 Jumping on the Benchmark Bandwagon: Benchmark Methodologies Are the Subject of Vigorous Debate 259\u003cbr\u003e \u003ci\u003eCrystal Detamore-Rodman\u003cbr\u003e \u003c\/i\u003eReprinted from CFA Magazine (January\/February 2004):54–55.\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart III: Performance Attribution\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eChapter 9 Determinants of Portfolio Performance 267\u003cbr\u003e \u003ci\u003eGary P. Brinson, L. Randolph Hood, \u003c\/i\u003eCFA,\u003ci\u003e and Gilbert L. Beebower\u003cbr\u003e \u003c\/i\u003eReprinted from Financial Analysts Journal (July\/August 1986):39–44.\u003c\/p\u003e \u003cp\u003eChapter 10 Determinants of Portfolio Performance II: An Update 277\u003cbr\u003e \u003ci\u003eGary P. Brinson, Brian D. Singer, \u003c\/i\u003eCFA,\u003ci\u003e and Gilbert L. Beebower\u003cbr\u003e \u003c\/i\u003eReprinted from Financial Analysts Journal (May\/June 1991):40–48.\u003c\/p\u003e \u003cp\u003eChapter 11 Determinants of Portfolio Performance—20 Years Later 289\u003cbr\u003e \u003ci\u003eL. Randolph Hood, \u003c\/i\u003eCFA\u003ci\u003e\u003cbr\u003e \u003c\/i\u003eReprinted from Financial Analysts Journal (September\/October 2005):6–8.\u003c\/p\u003e \u003cp\u003eChapter 12 Equity Portfolio Characteristics in Performance Analysis 293\u003cbr\u003e \u003ci\u003eStephen C. Gaudette, \u003c\/i\u003eCFA,\u003ci\u003e and Philip Lawton, \u003c\/i\u003eCFA, CIPM\u003ci\u003e\u003cbr\u003e \u003c\/i\u003eReprinted from CFA Institute (2007).\u003c\/p\u003e \u003cp\u003eChapter 13 Mutual Fund Performance: Does Fund Size Matter? 307\u003cbr\u003e \u003ci\u003eDaniel C. Indro, Christine X. Jiang, Michael Y. Hu, and Wayne Y. Lee\u003cbr\u003e \u003c\/i\u003eReprinted from the Financial Analysts Journal (May\/June 1999):74–87.\u003c\/p\u003e \u003cp\u003eChapter 14 Multiperiod Arithmetic Attribution 327\u003cbr\u003e \u003ci\u003eJosé Menchero, \u003c\/i\u003eCFA\u003ci\u003e\u003cbr\u003e \u003c\/i\u003eReprinted from the Financial Analysts Journal (July\/August 2004):76–91.\u003c\/p\u003e \u003cp\u003eChapter 15 Optimized Geometric Attribution 351\u003cbr\u003e \u003ci\u003eJosé Menchero, \u003c\/i\u003eCFA\u003ci\u003e\u003cbr\u003e \u003c\/i\u003eReprinted from the Financial Analysts Journal (July\/August 2005):60–69.\u003c\/p\u003e \u003cp\u003eChapter 16 Custom Factor Attribution 367\u003cbr\u003e \u003ci\u003eJosé Menchero, \u003c\/i\u003eCFA\u003ci\u003e, and Vijay Poduri, \u003c\/i\u003eCFA\u003ci\u003e\u003cbr\u003e \u003c\/i\u003eReprinted from the Financial Analysts Journal (March\/April 2008):81–92.\u003c\/p\u003e \u003cp\u003eChapter 17 Return, Risk, and Performance Attribution 387\u003cbr\u003e \u003ci\u003eKevin Terhaar\u003c\/i\u003e, CFA\u003cbr\u003e Reprinted from AIMR Conference Proceedings: Benchmarks and Attribution Analysis\u003cbr\u003e (June 2001):21–27.\u003c\/p\u003e \u003cp\u003eChapter 18 Global Asset Management and Performance Attribution 397\u003cbr\u003e \u003ci\u003eDenis S. Karnosky and Brian D. Singer, CFA\u003cbr\u003e \u003c\/i\u003eReprinted from The Research Foundation of CFA Institute (February 1994).\u003c\/p\u003e \u003cp\u003eChapter 19 Currency Overlay in Performance Evaluation 457\u003cbr\u003e \u003ci\u003eCornelia Paape\u003cbr\u003e \u003c\/i\u003eReprinted from Financial Analysts Journal (March\/April 2003):55–68.\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart IV: Performance Appraisal\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eChapter 20 On the Performance of Hedge Funds 481\u003cbr\u003e \u003ci\u003eBing Liang\u003cbr\u003e \u003c\/i\u003eReprinted from the Financial Analysts Journal (July\/August 1999):72–85.\u003c\/p\u003e \u003cp\u003eChapter 21 Funds of Hedge Funds: Performance and Persistence 501\u003cbr\u003e \u003ci\u003eStan Beckers\u003cbr\u003e \u003c\/i\u003eReprinted from CFA Institute Conference Proceedings Quarterly (June 2007):25–33.\u003c\/p\u003e \u003cp\u003eChapter 22 Hedge Fund Due Diligence: Putting Together the Pieces of the Mosaic Helps Reveal Operational Risks 513\u003cbr\u003e \u003ci\u003eCynthia Harrington\u003c\/i\u003e, CFA\u003cbr\u003e Reprinted from CFA Magazine (May\/June 2003):54–55.\u003c\/p\u003e \u003cp\u003eChapter 23 Putting Risk Measurement in Context: Why One Size Does Not Fit All 517\u003cbr\u003e \u003ci\u003eCynthia Harrington, CFA\u003cbr\u003e \u003c\/i\u003eReprinted from CFA Magazine (March\/April 2004):44–45.\u003c\/p\u003e \u003cp\u003eChapter 24 Conditional Performance Evaluation, Revisited 521\u003cbr\u003e \u003ci\u003eWayne E. Ferson and Meijun Qian\u003cbr\u003e \u003c\/i\u003eReprinted from the Research Foundation of CFA Institute (September 2004).\u003c\/p\u003e \u003cp\u003eChapter 25 Distinguishing True Alpha from Beta 591\u003cbr\u003e \u003ci\u003eLaurence B. Siegel\u003cbr\u003e \u003c\/i\u003eReprinted from CFA Institute Conference Proceedings: Challengesand Innovation in Hedge Fund Management (July 2004):20–29.\u003c\/p\u003e \u003cp\u003eChapter 26 A Portfolio Performance Index 605\u003cbr\u003e \u003ci\u003eMichael Stutzer\u003cbr\u003e \u003c\/i\u003eReprinted from the Financial Analysts Journal (May\/June 2000):52–61.\u003c\/p\u003e \u003cp\u003eChapter 27 Approximating the Confidence Intervals for Sharpe Style Weights 619\u003cbr\u003e \u003ci\u003eAngelo Lobosco and Dan DiBartolomeo\u003cbr\u003e \u003c\/i\u003eReprinted from Financial Analysts Journal (July\/August 1997):80–85.\u003c\/p\u003e \u003cp\u003eChapter 28 The Statistics of Sharpe Ratios 629\u003cbr\u003e \u003ci\u003eAndrew W. Lo\u003cbr\u003e \u003c\/i\u003eReprinted from the Financial Analysts Journal (July\/August 2002):36–52.\u003c\/p\u003e \u003cp\u003eChapter 29 Risk-Adjusted Performance: The Correlation Correction 653\u003cbr\u003e \u003ci\u003eArun S. Muralidhar\u003cbr\u003e \u003c\/i\u003eReprinted with updates from the Financial Analysts Journal (September\/ October 2000):63–71.\u003c\/p\u003e \u003cp\u003eChapter 30 Index Changes and Losses to Index Fund Investors 669\u003cbr\u003e \u003ci\u003eHonghui Chen, Gregory Noronha, CFA, and Vijay Singal, CFA\u003cbr\u003e \u003c\/i\u003eReprinted from the Financial Analysts Journal (July\/August 2006):31–47.\u003c\/p\u003e \u003cp\u003eChapter 31 Information Ratios and Batting Averages 693\u003cbr\u003e \u003ci\u003eNeil Constable and Jeremy Armitage\u003c\/i\u003e, CFA\u003cbr\u003e Reprinted from the Financial Analysts Journal (May\/June 2006):24–31.\u003c\/p\u003e \u003cp\u003eChapter 32 The Information Ratio 705\u003cbr\u003e \u003ci\u003eThomas H. Goodwin\u003cbr\u003e \u003c\/i\u003eReprinted from the Financial Analysts Journal (July\/August 1998):34–43.\u003c\/p\u003e \u003cp\u003eChapter 33 Does Asset Allocation Policy Explain 40, 90, or 100 Percent of Performance? 719\u003cbr\u003e \u003ci\u003eRoger G. Ibbotson and Paul D. Kaplan\u003cbr\u003e \u003c\/i\u003eReprinted from the Financial Analysts Journal (January\/February 2000):26–33.\u003c\/p\u003e \u003cp\u003eChapter 34 Fund Management Changes and Equity Style Shifts 731\u003cbr\u003e \u003ci\u003eJohn G. Gallo and Larry J. Lockwood\u003cbr\u003e \u003c\/i\u003eReprinted from Financial Analysts Journal (September\/October 1999):44–52.\u003c\/p\u003e \u003cp\u003eChapter 35 Managing Performance: Monitoring and Transitioning Managers 745\u003cbr\u003e \u003ci\u003eLouisa Wright Sellers\u003cbr\u003e \u003c\/i\u003eReprinted from AIMR Conference Proceedings: Investment Counseling for Private Clients IV (August 2002):32–39.\u003c\/p\u003e \u003cp\u003eChapter 36 Does the Emperor Wear Clothes or Not? The Final Word (or Almost) on the Parable of Investment Management 757\u003cbr\u003e \u003ci\u003ePhilip Halpern, Nancy Calkins, and Tom Ruggels\u003cbr\u003e \u003c\/i\u003eReprinted from Financial Analysts Journal (July\/August 1996):9–15.\u003c\/p\u003e \u003cp\u003eChapter 37 Does Historical Performance Predict Future Performance? 767\u003cbr\u003e \u003ci\u003eRonald N. Kahn and Andrew Rudd\u003cbr\u003e \u003c\/i\u003eReprinted from Financial Analysts Journal (November\/December 1995):43–52.\u003c\/p\u003e \u003cp\u003eChapter 38 Evaluating Fund Performance in a Dynamic Market 785\u003cbr\u003e \u003ci\u003eWayne E. Ferson and Vincent A. Warther\u003cbr\u003e \u003c\/i\u003eReprinted from Financial Analysts Journal (November\/December 1996):20–28.\u003c\/p\u003e \u003cp\u003eChapter 39 Investment Performance Appraisal 799\u003cbr\u003e \u003ci\u003eJohn P. Meier, CFA\u003cbr\u003e \u003c\/i\u003eReprinted from CFA Institute (2008).\u003c\/p\u003e \u003cp\u003eChapter 40 Thinking Outside the Box: Risk Management Firms Put a Creative Spin on Coupling Theory with Practice 815\u003cbr\u003e \u003ci\u003eSusan Trammell, CFA\u003cbr\u003e \u003c\/i\u003eReprinted from CFA Magazine (March\/April 2004):32–35.\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart V: Global Investment Performance Standards\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eChapter 41 Global Investment Performance Standards 825\u003cbr\u003e \u003ci\u003ePhilip Lawton\u003c\/i\u003e, CFA, CIPM, and \u003ci\u003eW. Bruce Remington\u003c\/i\u003e, CFA\u003cbr\u003e Reprinted from Managing Investment Portfolios: A Dynamic Process, 3 ed. (John Wiley \u0026amp; Sons, 2007):783–855.\u003c\/p\u003e \u003cp\u003eAppendix A Global Investment Performance Standards (GIPS®) 899\u003cbr\u003e Reprinted from the CFA Institute Centre for Financial Market Integrity (February 2005).\u003c\/p\u003e \u003cp\u003eAppendix B Corrections to GIPS Standards 2005: Last Updated October 31, 2006 951\u003c\/p\u003e \u003cp\u003eAbout the Contributors 953\u003c\/p\u003e \u003cp\u003eIndex 956\u003c\/p\u003e   \u003cp\u003e\u003cb\u003ePHILIP LAWTON, P\u003csmall\u003eH\u003c\/small\u003eD, CFA, CIPM,\u003c\/b\u003e 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. \u003c\/p\u003e\u003cp\u003e\u003cb\u003eTODD JANKOWSKI, CFA,\u003c\/b\u003e 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.        \u003c\/p\u003e\u003cp\u003e\u003cb\u003eInvestment Performance Measurement\u003c\/b\u003e \u003c\/p\u003e\u003cp\u003eOver 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\u003csup\u003e®\u003c\/sup\u003e), 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.  \u003c\/p\u003e\u003cp\u003eThat's why \u003ci\u003eInvestment Performance Measurement: Evaluating and Presenting Results\u003c\/i\u003e—the second essential title in the CFA Institute Investment Perspectives series—has 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.  \u003c\/p\u003e\u003cp\u003eDrawing from the Research Foundation of CFA Institute, the \u003ci\u003eFinancial Analysts Journal,\u003c\/i\u003e CFA \u003ci\u003eInstitute Conference Proceedings Quarterly,\u003c\/i\u003e CFA \u003ci\u003eMagazine,\u003c\/i\u003e and the CIPM curriculum, this reliable resource taps into the vast store of knowledge of some of today's most prominent thought leaders—from industry professionals to respected academics—who have focused on investment performance evaluation for a majority of their careers.  \u003c\/p\u003e\u003cp\u003eDivided 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.  \u003c\/p\u003e\u003cp\u003eAfter this informative introduction, \u003ci\u003eInvestment Performance Measurement\u003c\/i\u003e moves on to:  \u003c\/p\u003e\u003cul\u003e \u003cli\u003eProvide a solid understanding of the theoretical grounds for benchmarking and the trade-offs encountered during practice in Part II: Performance Measurement\u003c\/li\u003e \u003cli\u003eDescribe the different aspects of attribution analysis as well as the determinants of portfolio performance in Part III: Performance Attribution\u003c\/li\u003e \u003cli\u003eAddress everything from hedge fund risks and returns to fund management changes and equity style shifts in Part IV: Performance Appraisal\u003c\/li\u003e \u003cli\u003eRecount the history and explain the provisions of the GIPS standards—with attention paid to the many practical issues that arise in the course of its implementation—in Part V: Global Investment Performance Standards\u003c\/li\u003e \u003c\/ul\u003e  \u003cp\u003eFilled 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.\u003c\/p\u003e","brand":"Wiley","offers":[{"title":"Default Title","offer_id":47989474951397,"sku":"NP9780470395028","price":105.0,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/1842\/7735\/files\/9780470395028.jpg?v=1761784249","url":"https:\/\/k12savings.com\/es\/products\/investment-performance-measurement-isbn-9780470395028","provider":"K12savings","version":"1.0","type":"link"}