The Handbook of Investment Performance: a User’s Guide – 2nd Edition
David Spaulding has reworked his original book and expanded it in this second edition of his must have handbook
"I encourage performance practitioners (and investment practitioners) at all levels to read this text. It will confirm your understanding of the basics of performance and also introduce you to quite a few advanced topics. It's likely that you will find something that you didn't understand as well as you might be able to (I know I did)."
- Stephen Campisi, CFA
"Yes to its title, the book touches on all key topics relating to investment performance measurement and attribution analysis. By tackling complex concepts with a writing style that is easy to understand, this will serve as a great reference piece to those both new to the world of performance and those who are well experienced."
-Todd Juillerat, CFA
"David Spaulding's latest book is exactly as you expect - a tremendous resource, written in David's usual easy-to-understand style, an essential requirement for all performance measurement professionals."
-Carl Bacon, CIPM, Chairman, StatPro
"I sincerely believe that this book is a necessary component for the library of any well-informed performance professional and a phenomenal resource with lots of practical application for the management team that is looking to build a world-class performance measurement effort."
-Sandra Hahn-Colbert, CFA
Table of Contents
Foreword to Second Edition xi
Foreword to First Edition xiii
Preface and Acknowledgments, Second Edition xvii
Preface and Acknowledgments, First Edition xix
Chapter 1 Performance Measurement - Whats It All About? 1
Chapter 2 Calculating Money-weighted Returns 11
Chapter 3 Calculating Approximate Time-weighted Returns 31
Chapter 4 Calculating Exact Time-weighted Returns 47
Chapter 5 Multi-period Performance Measurement 69
Chapter 6 Time- Versus Money-weighted Returns 85
Chapter 7 Return on Leverage & Derivatives 109
Chapter 8 Benchmarks 119
Chapter 9 Performance Attribution 135
Chapter 10 The 3Ms of Risk 171
Chapter 11 The Performance Presentation Standards 201
Chapter 12 Controls, Policies & Procedures 225
Chapter 13 A First-class Performance System 241
Chapter 14 The Performance Measurement Profession 247