Chapter

Evaluating Investment Performance

August Baker, Dennis E. Logue and Jack S. Rader

in Managing Pension and Retirement Plans

Published in print November 2004 | ISBN: 9780195165906
Published online July 2005 | e-ISBN: 9780199835508 | DOI: http://dx.doi.org/10.1093/019516590X.003.0014
 Evaluating Investment Performance

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Pension plan sponsors, administrators, managers, trustees, and others must periodically evaluate the investment performance of the fund’s asset pool. Performance evaluation has several components: the alternative computations used in measuring returns, the correct ways to measure and adjust for risk, how benchmarks should be chosen or constructed, and attribution analysis — decomposing investment performance into the exposure of the fund to various market segments, the quality of the selection of assets, and the timing of movements of capital among asset classes. This chapter describes how each of these issues should be handled and what each contributes to understanding performance and decision-making.

Keywords: pension plans; pension funds; investment performance; performance evaluation; investment returns

Chapter.  8766 words. 

Subjects: Financial Markets

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