The field of investment performance measurement has finally arrived as a serious profession and segment of the investment industry. In te past few years we've seen the introduction of a formal certification program for performance measuremnt professionals, the creation of job titles such as "performance analyst" and "global head of performance," and the expansion beyond simply calculating returns. But even with this growth, much of what is done results from articles that were published many years ago and are in many cases quite difficult to come by.
Classics in Investment Performance Measurement offers you tremendous insights into the industry's pioneers and leading thinkers. The editors have, for the first time, brought together fundamental, foundational articles that all serious investment performance professionals should be familiar with. This text will serve both educational and reference purposes. The articles were chosen by the editors using various criteria, including original sources, creative concepts, and fundamentals.
Table of Contents
RATES OF RETURN
Pension Fund Investment Performance- What Method to Use When
by Peter O. Dietz
Components of a Measurement Model: Rate of Return, Risk, and Timing
by Peter O. Dietz
Components of Investment Performance
by Eugene F. Fama
A Primer on Time-Weighted and Dollar-Weighted Return
by Steven J. Lerit
Measuring Investment Returns of Portfolios Containing Futures and Options
by John C. Stannard
Excess Returns - Arithmetic or Geometric?
by Carl Bacon
Contrasting Time- and Money-weighted Returns: When Each Should be Used
by David D. Spaulding
RISK-ADJUSTED PERFORMANCE
How to Rate Management of Investment Funds
by Jack L. Treynor
Mutual Fund Performance
by William F. Sharpe
Problems in Selection of Security Portfolios
The Performance of Mutual Funds in the Period 1945-1964
by Michael C. Jensen
Risk, Return and Equilibrium: Some Clarifying Comments
by Eugene F. Fama
Measurement of Portfolio Performance Under Uncertainty
by Irwin Friend and Marshall Blume
Information Analysis
by Richard C. Grinold and Ronald N. Kahn
Risk-Adjusted Performance
by Franco Modigliani and Leah Modigliani
The Information Ratio
by Thomas H. Goodwin
PERFORMANCE ATTRIBUTION AND STYLE ANALYSIS
Measuring non-U.S. Equity Portfolio Performance
by Gary P. Brinson and Nimrod Fachler
Determinants of Portfolio Performance
by Gary P. Brinson, L. Randolph Hood and Gilbert L. Beebower
Asset Allocation: Management Style and Performance Measurement
by William F. Sharpe
Multicurrency Performance Attribution
by Ernest M. Ankrim and Chris R. Hensel
The General Framework for Global Investment Management and Performance Attribution
by Brian D. Singer and Denis S. Karnosky
Combining Attribution Effects Over Time
by David R. Cariño, Ph.D
An Optimized Approach to Linking Attribution Effects Over Time
by Jose G. Menchero, Ph.D.
Risk-Adjusted Peformance Attribution
by Jose G. Menchero, Ph.D.