Performance measurement is a key function in an asset management firm and deserves better than to be grouped with the back office. Performance measurers provide real added value, with feedback into the investment decision process and analysis of structural issues. Since their role is to understand in full and communicate the sources of return within portfolios, they are often the only independent source equipped to understand the performance of all the portfolios and investment strategies operating within the asset management firm.

This book provides an introduction to the subject of performance measurement and a useful reference for all the available methodologies. There have been significant developments in the areas of performance attribution and presentation standards recently, which deserve practical coverage.

Review

This is a wonderful book for anyone who works with portfolio management-and especially those who compile or analyze performance results. It is a treasure trove of all the important formulas for calculating portfolio returns, benchmark returns, portfolio risk or performance attribution. Appendices provide the actual text for various standards for reporting performance. These include the CFA Institute's Global Investment Performance Standards, which are widely used around the world.

Are you familiar with Haug (1997)-that definitive directory for closed form financial engineering formulas? Well this is the Haug of performance analysis. The coverage of formulas is impressive, covering those that are little known as well as those that are widely used. There are nice historical explanations of how formulas first originated. References to the literature are cited extensively.

Do you want to handle intra-period cash flows? How about calculate performance in a foreign base currency? Maybe you need the correct formula for tracking error. It is all here and so much more. As a reference or for interesting browsing, this book is exceptional.

Exceptional - 6 star rating

- Glyn A. Holton of Contingency Analysis.

Best book of 2004 - www.Riskbook.com