Bruce Feibel – Investment Performance Measurement
Many funding books embody a chapter or two on funding efficiency measurement or give attention to a single facet, however just one e-book addresses the breadth of the sector. Investment Performance Measurement is a complete information that covers the topics of efficiency and threat calculation, attribution, presentation, and interpretation. This information-packed e-book covers a variety of associated matters, together with calculation of the returns earned by portfolios; measurement of the dangers taken to earn these returns; measurement of the danger and return effectivity of the portfolio and different indicators of supervisor ability; and far more. By reviewing each the ideas of efficiency measurement and examples of how they’re used, readers will acquire the perception vital to know and consider the administration of funding funds. Investment Performance Measurement makes intensive use of absolutely labored examples that complement formulation and is an ideal companion to skilled programs and seminars for analysts.
Bruce J. Feibel, CFA, is Product Manager at Eagle Investment Systems, an funding administration software program supplier positioned in Newton, Massachusetts. He is accountable for overseeing the event of Eagle’s funding efficiency measurement, attribution, and AIMR/GIPS compliance software program. Prior to becoming a member of Eagle, Mr. Feibel was a principal at State Street Global Advisors. He earned his BS in accounting from the University of Florida.
Table of Contents
CHAPTER 1: Investment Performance Measurement.
PART ONE: RETURN MEASUREMENT.
CHAPTER 2: Single Period Return.
CHAPTER 3: Money-Weighted Return.
CHAPTER 4: Time-Weighted Return.
CHAPTER 5: Multiperiod Return.
CHAPTER 6: Adjusting Returns for Impact of Fees, Taxes, and Currency.
CHAPTER 7: Measuring Relative Return.
PART TWO: RISK MEASUREMENT.
CHAPTER 8: Risk.
CHAPTER 9: Absolute Risk.
CHAPTER 10: Downside Risk.
CHAPTER 11: Relative Risk.
PART THREE: MEASURING RISK-ADJUSTED PERFORMANCE.
CHAPTER 12: Absolute Risk-Adjusted Return.
CHAPTER 13: Downside and Relative Risk-Adjusted Return.
CHAPTER 14: Assessing Skill.
PART FOUR: PERFORMANCE ATTRIBUTION.
CHAPTER 15: Security and Segment Returns.
CHAPTER 16: Effective Exposure Basis Returns.
CHAPTER 17: Contribution Analysis.
CHAPTER 18: Attributing Value Added to Management Decisions.
CHAPTER 19: Strategy-Specific Return Decomposition.
PART FIVE: PERFORMANCE PRESENTATION.
CHAPTER 20: AIMR- and GIPS-Compliant Performance Presentations.
Appendix: The AIMR Performance Presentation Standards.
BRUCE J. FEIBEL, CFA, is the Product Manager of Performance Measurement Technology at Eagle Investment Systems, an funding administration software program supplier positioned in Newton, Massachusetts. Prior to becoming a member of Eagle, Feibel was a principal at State Street Global Advisors. He earned a BS in accounting from the University of Florida.