This paper presents a method of performance measurement and attribution analysis which is based on values rather than returns. The difference in final values between a managed fund and its benchmark provides an exact measure of the contribution of the fund manager to the wealth of investors. It...

A value-based method of performance measurement was presented in our 2004 paper in this Journal. Here we extend our earlier paper in several ways. First, we compare the value method with the internal rate of return. Both incorporate money weighting, but values are easier to use and understand....