Jankowski, Todd. Lawton, Philip (ed.)

Investment Performance Measurement

Evaluating and Presenting Results
Ed. by Lawton, Philip; Jankowski, Todd

• Gebundenes Buch

Produktbeschreibung

With the growth of capital market data services, the development of quantitative analytical techniques, and the widespread acceptance of the Global Investment Performance Standards (GIPS), performance analysis has emerged as a central component of effective asset management and become a recognized area of specialization for investment professionals. Filled with in depth insights and expert advice, Investment Performance Measurement brings together the best of CFA Institute s publications to cover such issues as benchmark construction and selection, performance attribution analysis, performance appraisal, and performance presentation. Philip Lawton, PhD, CFA, CIPM, MBA (Charlottesville, VA), heads the Certificate in Investment Performance Measurement (CIPM) program at CFA Institute. Todd A. Jankowski, CFA, MBA (Charlottesville, VA), is Director of Curriculum Development for CFA s CIPM program. Research Foundation of the CFA Institute (Charlottesville, VA) encourages education for investment practitioners worldwide and funds, publishes, and distributes relevant research. The Foundation emphasizes research of practical value to investment professionals, while exploring new and challenging topics that provide a unique perspective in the rapidly evolving profession of investment management.

Produktdetails

• CFA Institute Investment Perspectives
• Verlag: Wiley & Sons
• 1. Auflage
• Seitenzahl: 992
• Erscheinungstermin: 28. April 2009
• Englisch
• Abmessung: 260mm x 183mm x 57mm
• Gewicht: 1814g
• ISBN-13: 9780470395028
• ISBN-10: 0470395028
• Artikelnr.: 25641994

Autorenporträt

Philip Lawton, PhD, CFA, CIPM, heads the Certificate in Investment Performance Measurement (CIPM) program at CFA Institute. His previous experience includes serving as vice president at State Street Analytics, where he supported the investment consulting firms that belong to the Independent Consultants Cooperative, and at Citibank, where he headed U.S. performance measurement in Worldwide Securities Services. Lawton is a frequent speaker on institutional investing and performance measurement at industry conferences. Todd Jankowski, CFA, is Director of Curriculum Development for the Certificate in Investment Performance Measurement (CIPM) program at CFA Institute. Prior to joining CFA Institute, he was head of investment research in the Wealth Management division of Northwestern Mutual Life Insurance Company, where he had earlier held investment management positions in the Retail Advisory and Institutional Private Placement divisions.

Inhaltsangabe

Foreword (Robert R. Johnson, CFA). Introduction (Philip Lawton, CFA, CIPM,
and Todd Jankowski, CFA). PART I: OVERVIEW OF PERFORMANCE EVALUATION.
CHAPTER 1 Evaluating Portfolio Performance (Jeffery V. Bailey, CFA, Thomas
M. Richards, CFA, and David E. Tierney). Reprinted from Managing Investment
Portfolios: A Dynamic Process, 3rd Edition (John Wiley & Sons,
2007):717-780. PART II: PERFORMANCE MEASUREMENT. CHAPTER 2 Benchmarks and
Investment Management (Laurence B. Siegel). Reprinted from the Research
Foundation of CFA Institute (2003). CHAPTER 3 The Importance of Index
Selection (Christopher G. Luck, CFA). Reprinted from AIMR Conference
Proceedings: Benchmarks and Attribution Analysis(June 2001):4-12. CHAPTER 4
After-Tax Performance Evaluation (James M. Poterba). Reprinted from AIMR
Conference Proceedings: Investment Counseling for Private Clients II
(August 2000):58-67. CHAPTER 5 Taxable Benchmarks: The Complexity Increases
(Lee N. Price, CFA). Reprinted from AIMR Conference Proceedings: Investment
Counseling for Private Clients III (August 2001):54-64. CHAPTER 6
Overcoming Cap-Weighted Bond Benchmark Deficiencies (William L. Nemerever,
CFA). Reprinted from CFA Institute Conference Proceedings Quarterly
(December 2007):55-66. CHAPTER 7 Yield Bogeys (Brent Ambrose and Arthur
Warga). Reprinted from Financial Analysts Journal (September/October
1996):63-68. CHAPTER 8 Jumping on the Benchmark Bandwagon: Benchmark
Methodologies Are the Subject of Vigorous Debate (Crystal Detamore-Rodman).
Reprinted from CFA Magazine (January/February 2004):54-55. PART III:
PERFORMANCE ATTRIBUTION. CHAPTER 9 Determinants of Portfolio Performance
(Gary P. Brinson, L. Randolph Hood, CFA, and Gilbert L. Beebower).
Reprinted from Financial Analysts Journal (July/August 1986):39-44. CHAPTER
10 Determinants of Portfolio Performance II: An Update (Gary P. Brinson,
Brian D. Singer, CFA, and Gilbert L. Beebower). Reprinted from Financial
Analysts Journal (May/June 1991):40-48. CHAPTER 11 Determinants of
Portfolio Performance--20 Years Later (L. Randolph Hood, CFA). Reprinted
from Financial Analysts Journal (September/October 2005):6-8. CHAPTER 12
Equity Portfolio Characteristics in Performance Analysis (Stephen C.
Gaudette, CFA, and Philip Lawton, CFA, CIPM). Reprinted from CFA Institute
(2007). CHAPTER 13 Mutual Fund Performance: Does Fund Size Matter (Daniel
C. Indro, Christine X. Jiang, Michael Y. Hu, and Wayne Y. Lee)? Reprinted
from the Financial Analysts Journal (May/June 1999):74-87. CHAPTER 14
Multiperiod Arithmetic Attribution (José Menchero, CFA). Reprinted from the
Financial Analysts Journal ( July/August 2004):76-91. CHAPTER 15 Optimized
Geometric Attribution (José Menchero, CFA). Reprinted from the Financial
Analysts Journal ( July/August 2005):60-69. CHAPTER 16 Custom Factor
Attribution (José Menchero, CFA, and Vijay Poduri, CFA). Reprinted from the
Financial Analysts Journal (March/April 2008):81-92. CHAPTER 17 Return,
Risk, and Performance Attribution (Kevin Terhaar, CFA). Reprinted from AIMR
Conference Proceedings: Benchmarks and Attribution Analysis (June
2001):21-27. CHAPTER 18 Global Asset Management and Performance Attribution
(Denis S. Karnosky and Brian D. Singer, CFA). Reprinted from The Research
Foundation of CFA Institute (February 1994). CHAPTER 19 Currency Overlay in
Performance Evaluation (Cornelia Paape). Reprinted from Financial Analysts
Journal (March/April 2003):55-68. PART IV: PERFORMANCE APPRAISAL. CHAPTER
20 On the Performance of Hedge Funds (Bing Liang). Reprinted from the
Financial Analysts Journal (July/August 1999):72-85. CHAPTER 21 Funds of
Hedge Funds: Performance and Persistence (Stan Beckers). Reprinted from CFA
Institute Conference Proceedings Quarterly (June 2007):25-33. CHAPTER 22
Hedge Fund Due Diligence: Putting Together the Pieces of the Mosaic Helps
Reveal Operational Risks (Cynthia Harrington, CFA). Reprinted from CFA
Magazine (May/June 2003):54-55. CHAPTER 23 Putting Risk Measurement in
Context: Why One Size Does Not Fit All (Cynthia Harrington, CFA). Reprinted
from CFA Magazine (March/April 2004):44-45. CHAPTER 24 Conditional
Performance Evaluation, Revisited (Wayne E. Ferson and Meijun Qian).
Reprinted from the Research Foundation of CFA Institute (September 2004).
CHAPTER 25 Distinguishing True Alpha from Beta (Laurence B. Siegel).
Reprinted from CFA Institute Conference Proceedings: Challenges and
Innovation in Hedge Fund Management ( July 2004):20-29. CHAPTER 26 A
Portfolio Performance Index (Michael Stutzer). Reprinted from the Financial
Analysts Journal (May/June 2000):52-61. CHAPTER 27 Approximating the Confi
dence Intervals for Sharpe Style Weights (Angelo Lobosco and Dan
DiBartolomeo). Reprinted from Financial Analysts Journal ( July/August
1997):80-85. CHAPTER 28 The Statistics of Sharpe Ratios (Andrew W. Lo).
Reprinted from the Financial Analysts Journal (July/August 2002):36-52.
CHAPTER 29 Risk-Adjusted Performance: The Correlation Correction (Arun S.
Muralidhar). Reprinted with updates from the Financial Analysts Journal
(September/October 2000):63-71. CHAPTER 30 Index Changes and Losses to
Index Fund Investors (Honghui Chen, Gregory Noronha, CFA, and Vijay Singal,
CFA). Reprinted from the Financial Analysts Journal (July/August
2006):31-47. CHAPTER 31 Information Ratios and Batting Averages (Neil
Constable and Jeremy Armitage, CFA). Reprinted from the Financial Analysts
Journal (May/June 2006):24-31. CHAPTER 32 The Information Ratio (Thomas H.
Goodwin). Reprinted from the Financial Analysts Journal (July/August
1998):34-43. CHAPTER 33 Does Asset Allocation Policy Explain 40, 90, or 100
Percent of Performance (Roger G. Ibbotson and Paul D. Kaplan)? Reprinted
from the Financial Analysts Journal (January/February 2000):26-33. CHAPTER
34 Fund Management Changes and Equity Style Shifts (John G. Gallo and Larry
J. Lockwood). Reprinted from Financial Analysts Journal (September/October
1999):44-52. CHAPTER 35 Managing Performance: Monitoring and Transitioning
Managers (Louisa Wright Sellers). Reprinted from AIMR Conference
Proceedings: Investment Counseling for Private Clients IV (August
2002):32-39. CHAPTER 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). Reprinted from Financial Analysts Journal
( July/August 1996):9-15. CHAPTER 37 Does Historical Performance Predict
Future Performance (Ronald N. Kahn and Andrew Rudd)? Reprinted from
Financial Analysts Journal (November/December 1995):43-52. CHAPTER 38
Evaluating Fund Performance in a Dynamic Market (Wayne E. Ferson and
Vincent A. Warther). Reprinted from Financial Analysts Journal
(November/December 1996):20-28. CHAPTER 39 Investment Performance Appraisal
(John P. Meier, CFA). Reprinted from CFA Institute (2008). CHAPTER 40
Thinking Outside the Box: Risk Management Firms Put a Creative Spin on
Coupling Theory with Practice (Susan Trammell, CFA). Reprinted from CFA
Magazine (March/April 2004):32-35. PART V: GLOBAL INVESTMENT PERFORMANCE
STANDARDS. CHAPTER 41 Global Investment Performance Standards (Philip
Lawton, CFA, CIPM, and W. Bruce Remington, CFA). Reprinted from Managing
Investment Portfolios: A Dynamic Process, 3 ed. (John Wiley & Sons,
2007):783-855. APPENDIX A Global Investment Performance Standards
(GIPS(r)). Reprinted from the CFA Institute Centre for Financial Market
Integrity(February 2005). APPENDIX B Corrections to GIPS Standards 2005:
Last Updated October 31, 2006. About the Contributors. Index.