Measurement of Investment Performance

Robert A. Levy

Journal of Financial and Quantitative Analysis, 1968, vol. 3, issue 1, 35-57

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?

Date: 1968
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