Hostname: page-component-78c5997874-j824f Total loading time: 0 Render date: 2024-11-10T06:34:14.345Z Has data issue: false hasContentIssue false

Measurement of Investment Performance

Published online by Cambridge University Press:  19 October 2009

Extract

With the increasing emphasis on the performance of managers of institutional portfolios, it becomes important to develop an accurate and complete measure of investment results. Accordingly, this study will be devoted to clarification and possible resolution of the following issues:

1. How may operating results be segregated from contributions and withdrawals of capital?

2. How may the “dollar weighting” inherent in compound rates of return be eliminated?

3. Should investment, in the context of return on investment, be cost-based or value-based?

4. How should risk be quantified?

5. Can both risk and return be considered in one composite measure of investment performance?

Type
Research Article
Copyright
Copyright © School of Business Administration, University of Washington 1968

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

1Dietz, Peter O., “Pension Fund Investment Performance—What Method to Use When,” Financial Analysts Journal (01–02 1966), pp. 8386.CrossRefGoogle Scholar
2McCandlish, Randolph W. Jr., “Some Methods for Measuring Performance of a Pension Fund,” Financial Analysts Journal (11–12 1965), pp. 105110.CrossRefGoogle Scholar
3Pratt, Shannon P., “Relationship between Risk and Rate of Return for Common Stocks,” unpublished Ph. D. dissertation, Indiana University, 1966.Google Scholar
4Sharpe, William F., “Mutual Fund Performance,” The Journal of Business (01 1966 Supplement), pp. 119138.CrossRefGoogle Scholar
5Sharpe, William F., “Risk-Aversion in the Stock Market: Some Empirical Evidence, The Journal of Finance (09 1965), pp. 416422.Google Scholar
6Treynor, Jack L., “How to Rate Management of Investment Funds,” Harvard Business Review (01–02 1965), pp. 6375.Google Scholar