Investment Performance Measurement

Foreword
Introduction

Part I Overview of Performance Evaluation
1 Evaluating Portfolio Performance (Jeffery V Bailey, CFA, Thomas M Richards, CFA, and David E Tierney)

Part II Performance Measurement
2 Benchmarks and Investment Management (Laurence B Siegel)
3 The Importance of Index Selection (Christopher G Luck, CFA)
4 After-Tax Performance Evaluation (James M Poterba)
5 Taxable Benchmarks The Complexity Increases (Lee N Price, CFA)
6 Overcoming Cap-Weighted Bond Benchmark Deficiencies (William L Nemerever, CFA)
7 Yield Bogeys (Brent Ambrose and Arthur Warga)
8 Jumping on the Benchmark Bandwagon (Crystal Detamore-Rodman)

Part III Performance Attribution
9 Determinants of Portfolio Performance (Gary P Brinson, L Randolph Hood, CFA, and Gilbert L Beebower)
10 Determinants of Portfolio Performance II An Update (Gary P Brinson, Brian D Singer, and Gilbert L Beebower)
11 Determinants of Portfolio Performance - 20 Years Later (L Randolph Hood, CFA)
12 Equity Portfolio Characteristics in Performance Analysis (Stephen C Gaudette, CFA and Philip Lawton, CFA, CIPM)
13 Mutual Fund Performance Does Size Matter (Daniel C Indro, Christine X Jiang, Michael Y Hu, and Wayne Y Lee)?
14 Multiperiod Arithmetic Attribution (José Menchero, CFA)
15 Optimized Geometric Attribution (José Menchero, CFA)
16 Custom Factor Attribution (José Menchero, CFA and Vijay Poduri, CFA)
17 Return, Risk, and Performance Attribution (Kevin Terhaar, CFA)
18 Global Asset Management and Performance Attribution (Denis S Karnosky and Brian D Singer, CFA)
19 Currency Overlay in Performance Evaluation (Cornelia Paape)

Part IV Performance Appraisal
20 On the Performance of Hedge Funds (Bing Liang)
21 Funds of Hedge Funds Performance and Persistence (Stan Beckers)
22 Hedge Fund Due Diligence (Cynthia Harrington, CFA)
23 Putting Risk Measurement in Context (Cynthia Harrington, CFA)
24 Conditional Performance Evaluation, Revisited (Wayne E Ferson and Meijun Qian)
25 Distinguishing True Alpha from Beta (Laurence B Siegel)
26 A Portfolio Performance Index (Michael Stutzer)
27 Approximating the Confidence Intervals for Sharpe Style Weights (Angelo Lobosco, CFA and Dan DiBartolomeo)
28 The Statistics of Sharpe Ratios (Andrew W Lo)
29 Risk-Adjusted Performance The Correlation Correction (Arun S Muralidhar)
30 Index Changes and Losses to Index Fund Investors (Honghui Chen, Gregory Noronha, CFA, and Vijay Singal, CFA)
31 Information Ratios and Batting Averages (Neil Constable and Jeremy Armitage, CFA)
32 The Information Ratio (Thomas H Goodwin)
33 Does Asset Allocation Policy Explain 40, 90, or 100 Percent of Performance (Roger G Ibbotson and Paul D Kaplan, CFA)?
34 Fund Management Changes and Equity Style Shifts (John G Gallo, CFA and Larry J Lockwood, CFA)
35 Managing Performance Monitoring and Transitioning Managers (Louisa Wright Sellers)
36 Does the Emperor Wear Clothes or Not? The Final Word (or Almost) on the Parable of Investment Management (Philip Halpern, Nancy Calkins, and Tom Ruggels)
37 Does Historical Performance Predict Future Performance (Ronald N Kahn and Andrew Rudd)?
38 Evaluating Fund Performance in a Dynamic Market (Wayne E Ferson and Vincent A Warther)
39 Investment Performance Appraisal (John P Meier, CFA)
40 Thinking Outside the Box (Susan Trammell, CFA)

Part V Global Investment Performance Standards
41 Global Investment Performance Standards (Ch 13) (Philip Lawton, CFA, CIPM and W Bruce Remington, CFA)

Appendices
Appendix A Global Investment Performance Standards (GIPS(r))
Appendix B Corrections to GIPS Standards 2005
About the Research Foundation of CFA Institute
About the Contributors
CFA Ad
Index