The asset management industry is increasingly confronted with the investor's demand for absolute-performance portfolios. Beside the challenge to come up with appropriate investment strategies, asset managers also face the problem of explaining the achieved results, especially whether these...

This textbook first introduces the reader to return measurement and then goes on to compare the time-weighted rate of return (TWR) with the money-weighted rate of return (MWR). To emphasize the importance of risk in conjunction with return, different tracking errors are analyzed and ex-post...