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Measurement of Investment Performance

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  • Levy, Robert A.

Abstract

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?

Suggested Citation

  • Levy, Robert A., 1968. "Measurement of Investment Performance," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 3(1), pages 35-57, March.
    • Handle: RePEc:cup:jfinqa:v:3:y:1968:i:01:p:35-57_01
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    Cited by:

    1. Magni, Carlo Alberto & Marchioni, Andrea & Baschieri, Davide, 2023. "The Attribution Matrix and the joint use of Finite Change Sensitivity Index and Residual Income for value-based performance measurement," European Journal of Operational Research, Elsevier, vol. 306(2), pages 872-892.
    2. Tom Barnes, 1985. "Markowitz Allocation–Fixed Income Securities," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 8(3), pages 181-191, September.

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