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    Title Page
    Copyright Page
    Dedication
    Acknowledgements
    Chapter 1 - Introduction
    Chapter 2 - The Mathematics of Portfolio Return
    SIMPLE RETURN
    MONEY-WEIGHTED RETURNS
    TIME-WEIGHTED RETURNS
    TIME-WEIGHTED VERSUS MONEY-WEIGHTED RATES OF RETURN
    APPROXIMATIONS TO THE TIME-WEIGHTED RETURN
    HYBRID METHODOLOGIES
    WHICH METHOD TO USE?
    SELF-SELECTION
    ANNUALISED RETURNS
    CONTINUOUSLY COMPOUNDED RETURNS
    GROSS- AND NET-OF-FEE CALCULATIONS
    PORTFOLIO COMPONENT RETURNS
    BASE CURRENCY AND LOCAL RETURNS
    Chapter 3 - Benchmarks
    Chapter 4 - Risk
    Chapter 5 - Performance Attribution
    Chapter 6 - Multi-currency Attribution
    Chapter 7 - Fixed Income Attribution
    Chapter 8 - Multi-period Attribution
    Chapter 9 - Further Attribution Issues
    Chapter 10 - Performance Measurement for Derivatives
    Chapter 11 - Performance Presentation Standards
    Appendix A - Simple Attribution
    Appendix B - Multi-currency Attribution Methodology
    Appendix C - EIPC Guidance for Users of Attribution Analysis
    Appendix D - European Investment Performance Committee – Guidance on Performance Attribution Presentation
    Appendix E - The Global Investment Performance Standards
    Appendix F - Guidance Statement on Composite Definition
    Appendix G - Sample Global Investment Performance Standards Presentation
    Appendix H - Calculation Methodology Guidance Statement
    Appendix I - Definition of Firm Guidance Statement
    Appendix J - Treatment of Carve-outs Guidance Statement
    Appendix K - Significant Cash Flow Guidance Statement
    Appendix L - Guidance Statement on Performance Record Portability
    Appendix M - Guidance Statement on the Use of Supplemental Information
    Appendix N - Guidance Statement on Recordkeeping Requirements of the GIPS Standards
    Appendix O - Useful Websites
    Bibliography
    Index
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    Chapter 2 - The Mathematics of Portfolio... > GROSS- AND NET-OF-FEE CALCULATIONS

    GROSS- AND NET-OF-FEE CALCULATIONS

    A key component in long-term investment performance is the fee charged by the asset manager. Fees are charged in many different ways by several different parties, in evaluating and comparing the performance of a portfolio manager it is essential that the impact of fees be appropriately assessed.
    There are three basic types of fees or costs incurred in the management of an investment portfolio:
    1. Transaction fees – the costs directly related to buying and selling assets including broker’s commission, bid/offer spread, and transaction-related regulatory charges and taxes (stamp duty, etc.), But excluding transaction-related custody charges.
    2. Portfolio management fee – the fees charged by the asset manager for the management of the account.
    3. Custody and other administrative fees including audit fees, performance measurement fees, legal fees and any other fee.

      

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