Investment Performance Measurement
Bruce J. Feibel, CFA, is Product Manager at Eagle Investment Systems, an investment management software provider located in Newton, Massachusetts. He is responsible for overseeing the development of Eagle's investment performance measurement, attribution, and AIMR/GIPS compliance software. Prior to joining Eagle, Mr. Feibel was a principal at State Street Global Advisors. He earned his BS in accounting from the University of Florida.
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.