Investment Performance Measurement

by Bruce J. Feibel

Book Overview

Many investment books include a chapter or two on investment performance measurement or focus on a single aspect, but only one book addresses the breadth of the field. Investment Performance Measurement is a comprehensive guide that covers the subjects of performance and risk calculation, attribution, presentation, and interpretation. This information-packed book covers a wide range of related topics, including calculation of the returns earned by portfolios; measurement of the risks taken to earn these returns; measurement of the risk and return efficiency of the portfolio and other indicators of manager skill; and much more. By reviewing both the concepts of performance measurement and examples of how they are used, readers will gain the insight necessary to understand and evaluate the management of investment funds. Investment Performance Measurement makes extensive use of fully worked examples that supplement formulas and is a perfect companion to professional courses and seminars for analysts.

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.

• Format: Hardcover
• Language: English
• ISBN: 0471268496
• ISBN13: 9780471268499
• Release Date: February 2003
• Publisher: Wiley
• Length: 368 Pages
• Weight: 1.50 lbs.
• Dimensions: 1.1" x 6.3" x 9.6"

Customer Reviews

Great reference book

I'm taking the Investments course within the Certified Financial Planner program. This book really helped clarify many of the terms and formulas we had to learn. The Mayo text covers the material, but from a more academic slant. I just wish I had bought the Feibel book well before the class started. It may not be technical enough for graduate students in Finance or people who normally read scholarly papers on investment theory. But for everyone else, like individual investors or people going back to school learning investing fundmentals, it's a great reference.

Basic to Advanced

This book is very well thought out and takes it step by step from basic to advanced. The really good thing about it is that it shows you how it looks in Excel which means it helps with how it would be entered into a computer.

Best book on investment performance measurement

I have read many books on this subject. This book is the best. It's well written, easy to understand, but in much detail.Some other books only cover some calculation of returns, but this book covers all the subjects that matter to investment performance measurement: Return Measurement, Risk Measurement, Efficiency and Skill Measurement, Performance Attribution and Performance Presentation.This book is not expensive. Good value for your money.Anne-Mei-LingIndexfund Investment Group BV analyst

A great reference to have....

I find myself referencing Feibel's performance algorithms quite often. The book overall is well written, easy to follow, and quite organized. I recommend it to anyone that needs a good handbook alongside them or is new to performance calcs.

An education and refresher course!

It is about time that a text like this has been made available. There are others out there, but none that cover the breadth and detail required to understand what is relevant today. Covering everything to how returns are calculated, and then moving on up to other more complex issues such as risk and attribution - it lays it all out, along with clear examples to support the text. It should sit as a reference tool on anyone's desk who works in investment management.