Measuring Investment Returns of Portfolios Containing Futures and Options

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Measuring rates of return for derivatives offers many challenges. Despite some bad press such products have generated, these securities won’t disappear. Our author discusses the unique problems of these securities and offers a methodology for measuring performance results.

John C. Stannard

Measuring Investment Returns of Portfolios Containing Futures and Options

Measuring rates of return for derivatives offers many challenges. Despite some bad press such products have generated, these securities won’t disappear. Our author discusses the unique problems of these securities and offers a methodology for measuring performance results.

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The Journal of Performance Measurement

The Performance Measurement Resource.

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