The authors examine the level of risk shifting by mutual funds over time. Their results suggest that mutual funds do engage in ...

The StableRisk Indices, created by FTSE, are long-only indices in which risk is dynamically controlled by ...

The authors find evidence that hedge funds engage in returns management by either underreporting returns ...

The author outlines the history of equity index construction to the present day, noting that the two largest ...

The authors document the limitations and challenges of using currency-hedged benchmarks in the assessment of the performance of ...

The authors evaluate traditional and alternative approaches to portfolio rebalancing during normal and ...

The authors study venture capital (VC) fund performance. The funds substantially outperformed the listed equity market ...

Despite being one of the most important concepts in investment management, performance measurement is not well understood in ...

Members of CFA Institute receive a 20% discount off the standard program price by entering code “CFA20” during the registration ...

Members of CFA Institute receive a 20% discount off the standard program price by entering code “CFA20” during the registration ...

Members of CFA Institute receive a 20% discount off the standard program price by entering code “CFA20” during the registration ...

Members of CFA Institute receive a 20% discount off the standard program price by entering code “CFA20” during the registration ...

Recent credit ratings downgrades of European sovereigns has caused many fixed income investors to reconsider the use of ...

Members of CFA Institute receive a 20% discount off the standard program price by entering code “CFA20” during the registration ...

Empowering investors “means creating goals-based reporting tools that resonate both objectively and ...

This article, the third in a series to examine risk-adjusted performance metrics, focuses on a commonly used measure of ...

This article provides a broad overview of available benchmark families for the infrastructure asset class and discusses ...

Members of CFA Institute receive a 20% discount off the standard program price by entering code “CFA20” during the registration ...

Members of CFA Institute receive a 20% discount off the standard program price by entering code “CFA20” during the registration ...

Members of CFA Institute receive a 20% discount off the standard program price by entering code “CFA20” during the registration ...

This academic study provides evidence that the valuation of equity positions by hedge fund advisers deviate from standard ...

Few events offer such a focused and hands-on opportunity to engage with the latest investment performance tools as the GIPS ...

If you’ve been looking for an introduction to performance analysis or a refresher on basic attribution principles and ...

The 2012 Global Market Sentiment Survey analyzes responses to a November, 2011 survey of over 58,000 CFA Institute members ...

Members of CFA Institute receive a 20% discount off the standard program price by entering code “CFA20” during the registration ...

Members of CFA Institute receive a 20% discount off the standard program price by entering code “CFA20” during the registration ...

Members of CFA Institute receive a 20% discount off the standard program price by entering code “CFA20” during the registration ...

Members of CFA Institute receive a 20% discount off the standard program price by entering code “CFA20” during the registration ...

Members of CFA Institute receive a 20% discount off the standard program price by entering code “CFA20” during the registration ...

Members of CFA Institute receive a 20% discount off the standard program price by entering code “CFA20” during the registration ...

Members of CFA Institute receive a 20% discount off the standard program price by entering code “CFA20” during the registration ...

The authors examine the self-selection bias in voluntarily reported hedge fund performance data by comparing comparisons of ...

The Spaulding Group is pleased to announce its first online conference, which is dedicated to performance attribution: ...

Robert Jenkins, FSIP, cites the flaws in the traditional Return on Equity (ROE) measure in measuring bank financial performance ...

The market portfolio is usually defined as an aggregate of individual assets. The authors develop a new approach to building a ...

The Treynor ratio and Jensen’s alpha are risk-adjusted performance measures that isolate the portion of a ...

The self-reported returns for a typical hedge fund display a pattern of positive serial correlation that is especially evident ...

Using 10 years of mutual fund performance data, the authors test two theories of decision making: group shift theory and ...

Clients are demanding increased risk monitoring and control capabilities across all asset types. This session reveals the latest ...

Karyn D. Vincent, CFA, CIPM, presents a review of the recent changes to the GIPS® standards and how firms are adapting and ...

Performance attribution has become a standard requirement for institutional clients. This episode discusses practical issues ...

Iain W. McAra provides insight into the many benefits gained by firms claiming compliance with the Global Investment Performance ...

Carl R. Bacon, CIPM, a performance measurement specialist, discusses the evolution of performance attribution, the latest ...

For Asian public–private partnerships, the risk–return tradeoff can be tricky.

The authors show that the Brinson model, which is used for return attribution analysis, is a special kind of factor model. This ...

The authors advocate a portfolio management philosophy that evaluates managers’ success based on whether client goals of capital ...

The square-root-of-time scaling method uses daily volatilities to estimate value at risk (VaR) over long periods. The authors ...

How should pension funds pay their own staff? The author looks at two approaches to implementing a pay-for-performance plan that ...

The authors find that using holdings data and security returns to estimate betas and alphas for mutual funds results in a better ...

The author reports that computer-driven and systematic quantitative investment portfolios can achieve transparency and integrated ...

The authors analyzed a large sample of domestic equity separately managed accounts over the 1991–2009 period and found ...

In response to increasing interest in hedge funds and their fee structures, the author summarizes the establishment of two early ...

The Sharpe ratio and the information ratio are routinely used in performance assessment; they are among the original ...

Few events offer such a focused and hands-on opportunity to engage with the latest investment performance tools as the GIPS ...

If you’ve been looking for an introduction to performance analysis or a refresher on basic attribution principles and ...

As the finance industry continues to grow more globally interconnected, investors are increasingly seeking standards of ...

This is an academic paper that finds that hedge funds manipulate stock prices on critical reporting dates. The authors document ...

Fixed income requires a unique approach to attribution since much of its return is driven by structural risk factors that are ...

Accurately measuring and analyzing portfolio performance is an important step in the investment management process. Precise ...

Various researchers have investigated the importance of asset allocation versus security selection. Although we think this ...

Responses to a survey of investment management practitioners in Europe show that most practitioners are aware of key academic ...

Stress value at risk (VaR) uses hedge funds’ return history to estimate nonlinear risk exposures to various market factors. Risk ...

The REIS Handbook Exposure Draft webinar was held on 28 April 2011. Click Play to access the audio replay as well as additional ...

As Adopted by the GIPS Executive Committee on 29 January 2010 (CFA Institute, 2010)

The authors find predictable patterns in stock returns. Stocks whose relative returns are high in a given half hour today ...

Clients’ true financial goals—generating cash flow for spending and preserving principal—often become obscured in ...

Successful portfolio management is often determined and presented according to detailed and sophisticated performance measurement ...

The financial bubbles and crises that have affected the world’s markets and economies during the past five years have created ...

Performance-based fee compensation relies on performance fee models that require specific parameters to be ...

This course defines a portfolio of securities and explains how to track its performance through portfolio returns. Continuing ...

This course explains how Monte Carlo simulation is used for computing value-at-risk (VAR), particularly for complex portfolios ...

This course illustrates how past returns can be used to predict future returns. Continuing Education Information As a ...

This course introduces Value-at-Risk or VAR, a measure used by financial practitioners to quantify their exposure to ...

This course describes Monte Carlo simulation, a technique that uses random numbers to calculate possible future returns based on ...

The author presents a new methodology for attributing alpha to tactical allocation or factor timing skills. This ...

Performance-based fee compensation relies on performance fee models that require that specific parameters be clearly ...

As our performance metrics become more complex and we dive down deeper and deeper into the accuracy of returns, the availability ...

The Handbook of Investment Performance explains all aspects of investment performance measurement in a thorough and easy to grasp ...

Calculating the gross-of-fees return if the net-of-fees return is known (and vice versa) is a simple mathematical ...

Saeed Al Hajeri, CFA, explains professional development and the investment process at one of the world’s largest sovereign wealth ...

The authors decomposed their estimated pre-fee 1995–2009 hedge fund return of 11.13 percent into fees (3.43 percent), an alpha ...

Performance attribution identifies and separates the sources of performance, including strategic asset allocation, tactical asset ...

Scott Stewart, research associate professor at Boston University, presents his research on institutional plan sponsors. Results ...

Consistent with theory, this study of shareholder litigation found a broad transformation in company characteristics and risk ...

Although the GIPS standards do not address the particular challenges of hedge funds, claiming compliance is possible and ...

Classical performance attribution methods do not explicitly assess managers’ dynamic allocation skill in the factor domain. The ...

Stephen Campisi's presentation talks about the impact and potential benefits of moving away from traditional performance analysis ...

Iain McAra and Ann Putallaz, CIPM, discuss the basics of creating and maintaining policies and procedures as required by the GIPS ...

High-frequency performance reporting, if left unchecked, can facilitate well-intentioned but ultimately inaccurate performance ...

Rebuilding the confidence of the investor base continues to be one of the greatest challenges facing the hedge fund industry. ...

Many investors and portfolio managers follow momentum investment strategies, but until recently a momentum index has not been ...

The authors demonstrate that downside risk measures are more effective in predicting hedge fund failures than traditional risk ...

Because of the limited availability of short-selling and derivatives transactions in emerging markets, hedge funds in these ...

The Take 15 Series is a series of short interviews with leading practitioners on timely topics focused on the investment ...

The Take 15 Series is a series of short interviews with leading practitioners on timely topics focused on the investment ...

Investment advisory firms typically produce composite return series that are both gross of fees and net of ...

As of 1 January 2010, firms that claim compliance with the Global Investment Performance Standards (GIPS) ...

An ongoing challenge in performance attribution is getting numbers to add that do not add naturally. ...

This is an archived recording of a live event that took place on 27 May 2010. Original Live Event Description: In this live ...

This article discusses the impact on performance of the long-term asset allocation policy relative to the impact of active ...

The authors test a simple method for estimating the proportion of skilled and unskilled funds in the mutual fund population and ...

Emerging market hedge funds (EMHFs) in a pre-2007 sample show performance patterns that are similar to those of mutual funds, ...

The new edition of the Standards contains a number of significant changes.

Performance attribution quantifies the impact of decisions at each level of the investment process on the excess return relative ...

What impact have the Global Investment Performance Standards (GIPS) had on the investment industry? Who requires compliance with ...

One of the most important roles of the investment performance measurement professional is to evaluate the skill of investment ...

In my travels over the last few years, I have often had the privilege of meeting with investment performance practitioners in ...

The Global Investment Performance Standards (GIPS) is a set of standardized, industry-wide ethical principles that provide ...

In this interview, Neil Record discusses currency as an asset class, especially from the viewpoint of investors in Asia. Topics ...

This article discusses the impact on performance of the long-term asset allocation policy relative to the impact of active ...

Previous research has shown that equally weighted portfolios outperform optimized portfolios, which suggests that optimization ...

In this webcast, James B. Clunie, CFA, ASIP, discusses the following: Warning! Not all UCITS III funds have the same risk ...

Based on the principles of fair representation and full disclosure, the Global Investment Performance Standards (GIPS®) provide ...

The authors examine, analyze, and compare the statistical characteristics of hedge fund indices by using daily return indices ...

When excess return is negative, the Sharpe ratio is also negative, which can be counterintuitive. The author presents a ...

To determine whether the investment decisions of institutional plan sponsors contribute to their asset values, this study used a ...

The authors study the performance of companies on Business Ethics’ list of “100 Best Corporate Citizens.” They study short-term ...

The authors use 1994–2005 data to create a histogram of monthly hedge fund returns. They find that the frequency of small ...

The authors introduce a new measure of active management that measures the stock selection dimension of active management. ...

On 29 January 2010, the GIPS Executive Committee voted to approve the 2010 version of the GIPS standards. The revised GIPS ...

The Australian government's inquiry into the AUD$1.1 trillion superannuation system (the "Cooper ...

In this episode, Jamie Perrett discusses the following: What is a tax-adjusted index? How the Australian ...

How has the CIPM Program developed over the past four years?

This paper explains a novel method for the construction of equity indices that offer an efficient risk/return tradeoff. The index ...

Ch. 12, Global Investments, 6th edition, Bruno Solnik and Dennis McLeavey, CFA (Pearson Education, Inc., 2009)

The authors consider a measure of performance introduced by Modigliani and Modigliani (1997) as “risk-adjusted performance” ...

During the 1996−2003 period, active mutual fund portfolios with higher management contractual incentives had lower probability ...

The author examines two core views of modern finance about stocks and bonds and whether they are based on misconceptions. He ...

The authors contend that the performance of private equity funds (PEFs) reported by prior studies and industry associations is ...

This study concerns the relationship between gender and job performance among brokerage firm equity analysts. Women’s ...

To determine whether the investment decisions of institutional plan sponsors contribute to their asset values, this study used a ...

Performance attribution has become a valuable communication tool for managers and clients. A typical ...

The GIPS Executive Committee (EC), the governing body for the Global Investment Performance Standards (GIPS), ...

Recent scandals involving bogus claims of performance and Ponzi schemes involving asset managers in both the U.S. and Canada have ...

In this podcast, Stephen Campisi, CFA, James M. Edmonds, CFA, and Holly H. Miller discuss the following: What is the ...

In this podcast, Jonathan A. Boersma, CFA, and Karyn D. Vincent, CFA, CIPM, discuss the following: Treatment of ...

Classics in Investment Performance Measurement is a collection of academic research papers about the measurement of investment ...

The authors evaluate whether the Carhart model, a traditional equity mutual fund performance evaluation ...

The authors investigate the importance of corporate governance practices relative to company value by using a unique dataset. ...

The authors compare three performance measures: Jensen’s alpha, the information ratio, and a newly introduced measure, the ...

Performance attribution for private equity portfolios has been problematic because of the lack of an investable index coupled ...

January 2010 marks an important time for the Global Investment Performance Standards (GIPS). Not only will ...

In addition to setting policy and resolving complex technical issues, managers of performance departments face ...

One objective of the Global Investment Performance Standards (GIPS) is to provide investors with sufficient ...

In current practice, long–short attribution typically lies in the absolute return contribution space, with ...

Excess returns, and their practical use, tend to be glossed over because they are perceived to be ...

Drawing from the Research Foundation of CFA Institute, the Financial Analysts Journal, CFA Institute Conference Proceedings ...

This chapter from Investment Performance Measurement: Evaluating and Presenting Results is free to members. Portfolios can be ...

This chapter from Investment Performance Measurement: Evaluating and Presenting Results is free to members. One of the more ...

Drawing from the Research Foundation of CFA Institute, the Financial Analysts Journal, CFA Institute Conference Proceedings ...

Tending to be static and single-database oriented, existing models for correcting performance measurement biases are unable to ...

The authors compare 16 mutual funds that follow a behavioral finance strategy with the market and with “matched” ...

The authors refute the claim from a recent study that investor investment returns are influenced by the returns on the ...

Internal rate of return (IRR) is defined as the discount rate that makes the net present value of a series of cash ...

The author creates a two-component measure to better assess the value of active management. One component measures the ...

The general consensus is that funds of funds underperform hedge funds after fees. The authors, however, argue that ...

In this webcast, Andrew W. Lo discusses the following: The post-crisis landscape: What will become of alternative ...

In this podcast, Robin S. Pellish discusses the following: Evolution of the process of allocating risk capital to ...

By analyzing the small avalanche of white papers, journal articles, books, and other sources of information on alpha–beta ...

Previous studies suggest that trading-volume measures may proxy for a number of factors, including liquidity, momentum, and ...

Exposure draft for Global Investment Performance Standards released for public comment.

This webcast is an updated version of the presentation that Stephen Campisi, CFA, gave at the 2008 GIPS Standards Annual ...

Change is the watchword in investments these days. There are new products coming on board all the time, the ...

The use of theoretical performance, such as performance of a model portfolio, is not an uncommon practice, but ...

During the 1995–2004 period, fund-of-funds hedge funds in total delivered alpha only in the bull market of October 1998 ...

The authors examine the performance of investment managers pre- and post-termination and hiring decisions. In ...

Investigation of an index of returns on professionally managed currency funds and a subset of returns from 34 ...

Given the lack of transparency for hedge funds, investors and regulators have difficulty detecting fraudulent behavior. ...

How to detect hedge fund fraud and avoid another Madoff mess.

The authors search for evidence of skill in the management of bond funds. They ask whether managers with above-average ...

The authors propose an after-tax value (ATV) method of performance measurement for taxable portfolios. This approach is ...

The study reported here is a comparison of the earnings-forecasting performance of analysts at a large buy-side firm ...

Recent literature has found some evidence of performance persistence in hedge funds. This study investigated whether this ...

Investigation of an index of returns on professionally managed currency funds and a subset of returns from 34 individual ...

Both market and management factors drive returns in private equity. Most firms can attribute about half of their ...

In difficult times, ranks of closet indexers swell.

The authors present results of returns-based style analysis of four high-yield (HY) bond indices and 60 HY bond funds. ...

Although active extension strategies, often called 130–30 funds, are growing in popularity, limited progress has been ...

Practitioners have long supported the idea that options can improve returns and reduce risk relative to a stock-only ...

The investment strategy for a pension fund should match the risk characteristics of fund assets and fund liabilities. ...

The study reported here is a comparison of the earnings-forecasting performance of analysts at a large buy-side firm with the ...

Performance measurement, attribution, and risk are key tools in informing investment decisions and strategies. Performance ...

Agency problems can cause asset managers to act in a way that is not necessarily in the best interests of their clients. To ...

The methods commonly used for portfolio performance measurement (the Sharpe ratio and capital asset pricing model ...

A frequent comment is that investment funds with a nonnormal return distribution cannot be adequately evaluated by using the ...

This article documents how the S&P 500 Equal Weighted Index (EWI) differs from and outperforms the S&P 500.

This informative session describes the Certificate in Investment Performance Measurement (CIPM) program, a study and examination ...

Portfolio analysts often use one set of decision variables for attributing portfolio returns and a different set for attributing ...

The authors examine whether the choice of performance measure has any influence on the evaluation of hedge funds. They ...

In this academic paper, the authors find a discontinuity of returns around zero. The number of small gains, far exceeds the ...

In this webcast, Jason MacQueen discusses the following: Myths that obfuscate our thinking about the realities of active ...

Past studies ranked hedge fund performance by using the alpha generated by an ordinary least-squares regression and concluded ...

For the NYSE and Amex, the author finds that dollar-weighted returns are 1.9 percent per year lower on average than ...

This article examines the influence of public stock market returns on private equity portfolios. The author notes a significant ...

Since their introduction 20 years ago, performance presentation guidelines have evolved into a single global standard.

U.S. SEC looks at firms’ GIPS compliance claims and doesn’t like what it sees.

The authors develop a new way to evaluate hedge fund managers within a portfolio-of-funds context using the portfolio (book) as a ...

A stream of published research by strategy scholars has found that variation in performance is greater within industries than it ...

Active portfolio managers construct portfolios to provide excess returns within the context of the overall investment policy. The ...

In this study, formulas are developed to estimate the true costs and performance of active portfolio management in portfolios ...

Fully updated, this new edition of a classic examines everything from asset allocation strategies to risk management frameworks. ...

Unlike their American counterparts, Canadian initial public offerings (IPOs) do not underperform in the long run. These results ...

Offering clear, empirically based solutions to many of the practical challenges of running a bond portfolio ...

Becoming compliant with Global Investment Performance Standards can be a challenge for any firm. Although significant efforts are ...

The author discusses the main problems associated with measuring derivatives returns and develops a framework for performance ...

Return attribution identifies and quantifies the source of portfolio returns. The authors compare the relative merits of ...

Because of arbitrage around the time of index changes, investors in funds linked to the S&P 500 Index and the Russell 2000 ...

Because of arbitrage around the time of index changes, investors in funds linked to the S&P 500 Index and the Russell 2000 ...

In clear, concise, and well-organized prose, this book provides valuable insights into the legal matters and also the investment ...

M. Barton Waring offers a Q&A session based on his 2006 March/April FAJ article The Myth of the Absolute Return Investor ...

The information ratio (IR) and the batting average are two commonly quoted measures of investment success, but these measures ...

The author studies the investment performance of all types of institutional investors in the United States from 1981 to 2002. The ...

This edition of the Global Investment Performance Standards (GIPS®) Handbook, which replaces the 2002 ...

In this webcast presentation, M. Barton Waring discusses: Separating returns from hedge funds or funds of funds into beta, ...

A historical perspective on the AIMR-PPS standards.

The authors present a new framework for analyzing international equity returns that considers unique industry and style factors. ...

Does socially responsible investing (SRI) lead to inferior or superior portfolio performance? This study focused on the concept ...

To address the problem of geometric performance attribution in a recently proposed framework of qualitative characteristics and ...

This article addresses the following key points: The GIPS standards offer a marketing advantage to asset management ...

Does socially responsible investing (SRI) lead to inferior or superior portfolio performance? This study focused on the concept ...

A trillion-dollar industry is based on investing in or benchmarking to capitalization-weighted indexes, even though the finance ...

This content was developed from the CFA Centre for Financial Market Integrity and the Hong Kong Society of Financial Analysts ...

A difficult task for performance-minded investors is determining whether a manager's success is a result of ...

Based on the principles of fair representation and full disclosure, the Global Investment Performance ...

An exhaustive narrative of the manager search process, this book provides a practical, real-life method of analyzing investment ...

Traditional performance evaluation assumes that investment styles and economic states remain constant. Conditional performance ...

To highly skilled managers, benchmarks are confining, but to managers without the ability to consistently add alpha and to ...

This article discusses the Global Investment Performance Standards (GIPS) proposed advertising guidelines that will be available ...

The proposed venture capital and private equity provisions for the Global Investment Performance Standards (GIPS®) are now ...

From the Investment Performance Council's first submission (Ireland) in May 2001 to the 25 endorsements that are expected to be ...

Two questions and answers, approved by the Interpretations Subcommittee of the Investment Performance Council, will be added to ...

This section contains a list of those countries that have submitted and/or received Investment Performance Council endorsement ...

The AIMR Investment Performance Council's Guidance Statement on the Treatment of Significant Cash Flows became effective on 30 ...

The AIMR Investment Performance Council's recently proposed Guidance Statement on Carve-Outs is now available for public comment ...

To more clearly articulate the concepts of the provisions for wrap-fee portfolios, the AIMR-PPS Implementation Committee has ...

David Kuenzi explains the inadequacy of using readily available, published indices that do not accurately reflect the investment ...

The Investment Performance Council has adopted Guidance Statements to help firms comply with GIPS standards. The areas specified ...

In order to establish guidelines for firms to advertise compliance with GIPS® standards and to create an ethical framework to ...

This section contains a list of those countries that have submitted and/or received Investment Performance Council endorsement ...

This summer, a new AIMR publication will be unveiled, the GIPS® Handbook. This handbook will feature an updateable format, will ...

Professional Standards has hosted several consultant roundtables that discussed such issues as the GIPS® standards and global ...

This question and answer addresses what will happen to the AIMR-PPS interpretations and questions and answers available on AIMR's ...

The questions and answers in this section will be added to the GIPS Interpretations Library on AIMR's Web site. The questions ...

The Investment Performance Council (IPC) will open nominations for designated IPC delegation seats on 1 February 2002. This ...

To promote the comparability of performance returns, the Fees Subcommittee of the Investment Performance Council recently ...

This paper introduces a new method for the construction of equity indices that, unlike their commonly used cap-weighted ...

American Enterprise Institute for Public Policy Research: States report that their public-employee pensions are underfunded by a ...

This paper proposes a new performance measure called the Time- & Money-Weighted Return (TMWR) that combines the best features ...

The life settlements industry is in the early stages of developing best industry practices specific to its unique ...

This reading presents the requirements and recommendations of the 2010 version of the GIPS standards (PDF) and explains the ...

In this academic study, the authors find that hedge funds with greater incentives and greater opportunities inflate their returns ...