by BRUCE J. FEIBEL

contents

Preface ix

Acknowledgments xiii

CHAPTER 1

Investment Performance Measurement 1

PART ONE

Return Measurement 13

CHAPTER 2

Single Period Return 15

CHAPTER 3

Money-Weighted Return 37

CHAPTER 4

Time-Weighted Return 45

CHAPTER 5

Multiperiod Return 55

CHAPTER 6

Adjusting Returns for Impact of Fees, Taxes, and Currency 69

CHAPTER 7

Measuring Relative Return 97

PART TWO

Risk Measurement 121

CHAPTER 8

Risk 123

CHAPTER 9

Absolute Risk 131

CHAPTER 10

Downside Risk 155

CHAPTER 11

Relative Risk 165

PART THREE

Measuring Risk-Adjusted Performance 181

CHAPTER 12

Absolute Risk-Adjusted Return 183

CHAPTER 13

Downside and Relative Risk-Adjusted Return 199

CHAPTER 14

Assessing Skill 203

PART FOUR

Performance Attribution

CHAPTER 15

Security and Segment Returns 215

CHAPTER 16

Effective Exposure Basis Returns 243

CHAPTER 17

Contribution Analysis 255

CHAPTER 18

Attributing Value Added to Management Decisions 265

CHAPTER 19

Strategy-Specific Return Decomposition 285

PART FIVE

Performance Presentation 305

CHAPTER 20

AIMR- and GIPS-Compliant Performance Presentations 307

APPENDIX

The AIMR Performance Presentation Standards 331

INDEX 341