Classics in Investment Performance Measurement –

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Edited by David Spaulding, CIPM and James A. Tzitzouris, Jr., Ph.D., this compilation of articles on investment performance measurement is a “must have” for every performance measurement professional.

Product Description

The field of investment performance measurement has finally arrived as a serious profession and segment of the investment industry. In the past few years we've seen the introduction of a formal certification program for performance measurement 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


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


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


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.

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