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• Welcome
  • Notation
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• Return Calculation
  • Portfolio Accounting
  • Simple Returns
  • Returns with Contributions
    • Money-Weighted Returns
    • Time-Weighted Returns
    • Unit-Value Method
  • Advanced Topics
    • Accrual Basis & Cash Basis
    • Trade Date & Value Date
    • Chain-Linking Returns Over Time
    • Intraday Contributions
    • Average Returns
    • Return Aggregation
    • Rebalancing
    • Derivatives
    • Return Contributions
    • Percent Figure Puzzles
    • Rescaling, Standardizing & Normalizing Data
    • Short Selling & Negative Market Values
    • Relative Return Calculations
    • Absolute Returns, Target Returns and Other Returns
• Risk Measurement
  • Return Distributions
    • Histograms
    • The Normal Distribution
    • Testing for Normality
    • Skewness
    • Kurtosis, Peakedness & Fat Tails
    • The Normal Inverse Gaussian (NIG) Distribution
    • Elliptical Distributions
  • Absolute Risk
    • Volatility
    • Drawdown
    • Autocorrelation
  • Relative Risk
    • Semi & Downside Volatility
    • Lower Partial Moments & Downside Deviation
    • Shortfall Probability
    • Value-At-Risk
    • CoVaR
    • Tracking Error
    • Dependence: Correlation and More
    • Dispersion
    • Expected Regret
    • Beta
    • Price of a Put Option
  • Advanced Topics
    • The Correlation & Covariance Matrix
    • Autocorrelation
    • Risk Contributions
    • Risk Factor Exposures
    • Risk Over Time
    • Interim Risk
    • Higher Moments
    • Sources of Non-Normality
    • Leverage, Exposure & Risk
    • Alternative Risk Concepts
    • Measuring Diversification
    • "Black Swan" Risk
    • Gap Risk
• Investment Performance
  • Benchmarking
    • Fixed Benchmarks
    • Variable Benchmarks: Market Cap - Weighted Indices
    • Equally-Weighted Benchmarks
    • Risk-Based Reference Portfolios
  • Active Management
  • Passive Management
  • Core Satellite Management
  • Absolute Returns
  • Alternative Investments
  • Implementation Issues
  • Performance Analysis Process
  • Relative Performance
  • Higher Partial Moments
  • Excess Returns
  • Peer Comparison
• External Performance Analysis
  • Risk-Adjusted Performance Measures
    • Sharpe Ratio
    • Treynor Ratio
    • Alpha
    • Information Ratio
    • Some Relationships
    • M2 Measure
    • M3 Measure
    • Sortino Ratio
    • Excess Return on VaR
    • Conditional Sharpe Ratio
    • Modified Sharpe Ratio
    • MinMax Ratio
    • Farinelli-Tibiletti Ratio
    • Rachev Ratio
  • Gains-to-Losses Measures
  • Other External Measures
    • Stochastic Dominance
    • Stutzer Index
  • Market Timing Models
    • Bull and Bear Capture Ratios
    • Treynor/Mazuy Model
    • Henriksson/Merton Model
    • Connor/Korajczy Model
    • Bhattacharya/Pfleiderer Model
    • Grinblatt/Titman Model
    • Up/Down Market Model
    • Regime-Switching Models
  • Factor Models
  • Style Analysis
  • Advanced Topics
    • Peer Group Analysis
    • Performance Persistence
    • Decomposition of Risk-Adjusted Performance
    • Optimizing Risk-Adjusted Performance
    • Characteristics of Ranking Orders
• Internal Performance Analysis
  • Return Contribution
  • Performance Attribution
    • Model I: One Period - Fund-Level - Domestic
    • Model II: One Period - Segment-Level - Domestic
    • Model III: One Period - Stock-Level - Domestic
    • Model IV: One Period - International Simple
    • Model IV: One Period - International Sophisticated
    • Model VI: One Period Multi-Segment Domestic
    • Fixed Income Models
    • Multi-Level / Nested Attribution
    • Factor Attribution
    • Hybird Performance Attrbution Models
    • Advanced Topics
  • Bootstrapping Techniques
  • Efficiency Ratio
  • Advanced Topics
    • The 'Product-Sum' Fallacy
  • Characteristic-Based Style Analysis
• Performance Presentation
  • Reporting Building Blocks
  • Performance Presentation Standards
• Performance & Risk Management
  • Internal Performance Management
    • Control Processes
    • Backtesting
    • Multi-Boutique Asset Management
  • External Performance Management
    • Manager/Fund Selection
    • Retail Clients
  • Advanced Topics
    • Is Investment Management a Product or a Service?
    • Local Flavours... or Flavors or?
    • Performance & Fees
    • Incentives
    • Turnover
    • Investment Policies / Guidelines
    • Statistical Process Control
• Links
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