The Resource Center - Books

Pension Funds: Measuring Investment Performance by Peter O. Dietz (1966 & 2004)
Provides good background; historical significance
out of print; republished by The Spaulding Group 2004.

Measuring the Investment Performance of Pension Funds (1968)
Bank Administration Institute
out of print; good to have for background and historical significance

Managing Investment Portfolios (1983)
Edited by John L. Maginn and Donald L. Tuttle
Has some good info, including a chapter by Peter Dietz
copies may be available from AIMR

Against the Gods by Peter Bernstein (1996)
Great book on risk; long, but enjoyable to read
copies available from Amazon.com, etc.

The Handbook of Investment Performance Measurement & Attribution: A User's Guide (2005)
David Spaulding has built upon his first book and produced this book in early 2005. It is an essential tool in every performance measurer's library. Copies are available from The Spaulding Group.

Measuring Investment Performance by David Spaulding (1997)
foundational resource on performance measurement
Copies are available from The Spaulding Group

Investment Performance Attribution by David Spaulding (2003)
David Spaulding's long awaited book devoted to Investment Performance Attribution. Published by McGraw-Hill with a forward by Gary Brinson. Copies are available from The Spaulding Group

Risk Budgeting: A new approach to Investing (2000)
edited by Leslie Rahl
good details on value at risk and more
copies available from Amazon.com, etc.

Managing Downside Risk (2001)
edited by Frank Sortino and Stephen Satchell
good articles on this important aspect of risk
copies available from Amazon.com, etc.

Performance, Attribution, and Risk Measurement Reference Guide (2002 & 2004)
a glossary of investment performance measurement formulas, terms, concepts expanded in 2004
copies available from The Spaulding Group

 

 

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