Time Matters in Performance Analysis

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Investment Performance Measurement Feature Articles
September 2010 | Vol. 2010 | No. 2
Source: CFA Institute
Timothy P. Ryan, CIPM

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Abstract

High-frequency performance reporting, if left unchecked, can facilitate well-intentioned but ultimately inaccurate performance analysis, especially if investment performance professionals stop after calculating and reporting performance and do not go on to analyzing investment results. In this article, I will present two practical examples, discuss the analytical and statistical concepts embedded within each, and explain the appropriate treatment.

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Topics
Performance Measurement and Evaluation
    :
  • Return Measures (Arithmetic, Geometric, Time Weighted, Dollar Weighted)
  • ·
  • Risk-Adjusted Measures
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