INVESTMENT PERFORMANCE MEASUREMENT
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1 INVESTMENT PERFORMANCE MEASUREMENT Evaluating and Presenting Results Philip Lawton, CFA, CIPM Todd Jankowski, CFA WILEY John Wiley & Sons, Inc.
2 CONTENTS Foreword Robert R. Johnson, CFA Introduction 1 Philip Lawton, CFA, CIPM, and Todd Jankowski, CFA PART I: OVERVIEW OF PERFORMANCE EVALUATION CHAPTER 1 Evaluating Portfolio Performance 11 Jeffery V. Bailey, CFA, Thomas M. Richards, CFA, and David E. Tierney ReprintedfromManaging Investment Portfolios: A Dynamic Process, 3rd Edition (John Wiley & Sons, 2007): PART II: PERFORMANCE MEASUREMENT CHAPTER 2 Benchmarks and Investment Management 81 Laurence B. Siegel Reprintedfromthe Research Foundation of CFA Institute (2003)- CHAPTER 3 The Importance of Index Selection 189 Christopher G. Luck, CFA ReprintedfromAIMR Conference Proceedings: Benchmarks and Attribution Analysis (June 2001):4-12. CHAPTER 4 After-Tax Performance Evaluation 203 James M. Poterba ReprintedfromAIMR Conference Proceedings: Investment Counseling for Private Clients II (August 2000): CHAPTER 5 Taxable Benchmarks: The Complexity Increases 217 Lee N. Price, CFA ReprintedfromAIMR Conference Proceedings: Investment Counseling for Private Clients III (August 2001): CHAPTER 6 Overcoming Cap-Weighted Bond Benchmark Deficiencies 233 William L. Nemerever, CFA ReprintedfromCFA Institute Conference Proceedings Quarterly (December 2007): xi
3 vi Contents CHAPTER 7 Yield Bogeys 251 Brent Ambrose and Arthur Warga ReprintedfromFinancial Analysts Journal (September/October 1996): CHAPTER 8 Jumping on the Benchmark Bandwagon: Benchmark Methodologies Are the Subject of Vigorous Debate 259 Crystal Detamore-Rodman ReprintedfromCFA Magazine (January/February 2004): PART III: PERFORMANCE ATTRIBUTION CHAPTER 9 Determinants of Portfolio Performance 267 Gary P. Brinson, L. Randolph Hood, CFA, and Gilbert L. Beebower ReprintedfromFinancial Analysts Journal (July/August 1986): CHAPTER 10 Determinants of Portfolio Performance II: An Update 277 Gary P. Brinson, Brian D. Singer, CFA, and Gilbert L. Beebower ReprintedfromFinancial Analysts Journal (May/June 1991): CHAPTER 11 Determinants of Portfolio Performance 20 Years Later 289 L. Randolph Hood, CFA ReprintedfromFinancial Analysts Journal (September/October 2005):6-8. CHAPTER 12 Equity Portfolio Characteristics in Performance Analysis 293 Stephen C. Gaudette, CFA, and Philip Lawton, CFA, CIPM ReprintedfromCFA Institute (2007). CHAPTER 13 Mutual Fund Performance: Does Fund Size Matter? 307 Daniel C. Indro, Christine X. Jiang, Michael Y. Hu, and Wayne Y. Lee Reprintedfromthe Financial Analysts Journal (May/June 1999): CHAPTER 14 Multiperiod Arithmetic Attribution 327 Jose Menchero, CFA Reprintedfromthe Financial Analysts Journal (July/August 2004): CHAPTER 15 Optimized Geometric Attribution 351 Jose Menchero, CFA Reprintedfromthe Financial Analysts Journal (July/August 2005): CHAPTER 16 Custom Factor Attribution 367 Jose Menchero, CFA, and Vijay Poduri, CFA Reprintedfromthe Financial Analysts Journal (March/April 2008):81-92.
4 Contents vii CHAPTER 17 Return, Risk, and Performance Attribution 387 Kevin Terhaar, CFA ReprintedfromAIMR Conference Proceedings: Benchmarks and Attribution Analysis (June 2001): CHAPTER 18 Global Asset Management and Performance Attribution 397 Denis S. Karnosky and Brian D. Singer, CFA ReprintedfromThe Research Foundation of CFA Institute (February 1994). CHAPTER 19 Currency Overlay in Performance Evaluation 457 Cornelia Paape ReprintedfromFinancial Analysts Journal (March/April 2003): PART IV: PERFORMANCE APPRAISAL CHAPTER 20 On the Performance of Hedge Funds 481 Bing Liang Reprintedfromthe Financial Analysts Journal (July/August 1999): CHAPTER 21 Funds of Hedge Funds: Performance and Persistence 501 Stan Beckers ReprintedfromCFA Institute Conference Proceedings Quarterly (June 2007): CHAPTER 22 Hedge Fund Due Diligence: Putting Together the Pieces of the Mosaic Helps Reveal Operational Risks 513 Cynthia Harrington, CFA ReprintedfromCFA Magazine (May/June 2003): CHAPTER 23 Putting Risk Measurement in Context: Why One Size Does Not Fit All 517 Cynthia Harrington, CFA ReprintedfromCFA Magazine (March/April 2004): CHAPTER 24 Conditional Performance Evaluation, Revisited 521 Wayne E. Ferson and Meijun Qian Reprintedfromthe Research Foundation of CFA Institute (September 2004). CHAPTER 25 Distinguishing True Alpha from Beta 591 Laurence B. Siegel ReprintedfromCFA Institute Conference Proceedings: Challenges and Innovation in Hedge Fund Management (July 2004):20 29.
5 viii Contents CHAPTER 26 A Portfolio Performance Index 605 Michael Stutzer Reprintedfromthe Financial Analysts Journal (May/June 2000): CHAPTER 27 Approximating the Confidence Intervals for Sharpe Style Weights 619 Angelo Lobosco and Dan DiBartolomeo ReprintedfromFinancial Analysts Journal (July/August 1997): CHAPTER 28 The Statistics of Sharpe Ratios 629 Andrew W. Lo Reprintedfromthe Financial Analysts Journal (July/August 2002): CHAPTER 29 Risk-Adjusted Performance: The Correlation Correction 653 Arun S. Muralidhar Reprinted with updatesfromthe Financial Analysts Journal (September/ October 2000): CHAPTER 30 Index Changes and Losses to Index Fund Investors 669 Honghui Chen, Gregory Noronha, CFA, and Vijay Singal, CFA Reprintedfromthe Financial Analysts Journal (July/August 2006): CHAPTER 31 Information Ratios and Batting Averages 693 Neil Constable and Jeremy Armitage, CFA Reprintedfromthe Financial Analysts Journal (May/June 2006): CHAPTER 32 The Information Ratio 705 Thomas H. Goodwin Reprintedfromthe Financial Analysts Journal (July/August 1998): CHAPTER 33 Does Asset Allocation Policy Explain 40, 90, or 100 Percent of Performance? 719 Roger G. Ibbotson and Paul D. Kaplan Reprintedfromthe Financial Analysts Journal (January/February 2000): CHAPTER 34 Fund Management Changes and Equity Style Shifts 731 John G. Gallo and Larry J. Lockwood ReprintedfromFinancial Analysts Journal (September/October 1999): CHAPTER 35 Managing Performance: Monitoring and Transitioning Managers 745 Louisa Wright Sellers ReprintedfromAIMR Conference Proceedings: Investment Counseling for Private Clients IV (August 2002)32-39.
6 Contents ix CHAPTER 36 Does the Emperor Wear Clothes or Not? The Final Word (or Almost) on the Parable of Investment Management 757 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? 767 Ronald N. Kahn and Andrew Rudd Reprinted from Financial Analysts Journal (November/December 1995): CHAPTER 38 Evaluating Fund Performance in a Dynamic Market 785 Wayne E. Ferson and Vincent A. Warther Reprinted from Financial Analysts Journal (November/December 1996): CHAPTER 39 Investment Performance Appraisal 799 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 815 Susan Trammell, CFA Reprinted from CFA Magazine (March/April 2004): PART V: GLOBAL INVESTMENT PERFORMANCE STANDARDS CHAPTER 41 Global Investment Performance Standards 825 Philip Lawton, CFA, CIPM, and W. Bruce Remington, CFA Reprintedfrom Managing Investment Portfolios: A Dynamic Process, 3 ed. (John Wiley & Sons, 2007): APPENDIX A Global Investment Performance Standards (GIPS ) 899 Reprinted from the CFA Institute Centre for Financial Market Integrity (February 2005). APPENDIX B Corrections to GIPS Standards 2005: Last Updated October 31, About the Contributors 953 Index 956
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