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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
vi Contents
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 213
CHAPTER 15
Security and Segment Returns 215
CHAPTER 16
Effective Exposure Basis Returns 243
Contents vii
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
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