Net-Of-Fee Performance Calculations

Research & White Papers

Written by the CFA Society NY’s Performance & Risk Analytics Committee–Krista Harvey, CFA, CIPM , Andre Mirabelli, Ph.D.– This paper is intended to help investment professionals by articulating common and acceptable industry practices as they relate to the calculation of timeweighted returns for a portfolio of investments on a net-of-fee basis…

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The Structure And Visualization Of Performance Attribution

The Journal of Performance Measurement--Andre Mirabelli, Ph.D.--This paper presents a simply additive, yet formally exact, approach to multi-period performance attribution. It also introduces a visual representation, which makes this new approach and its relationship to prior approaches intuitively clear.