Performance Evaluation and Attribution of Security PortfoliosBy
- Bernd Fischer, Managing Director of IDS GmbH - Analysis and Reporting Services (a subsidiary of Allianz SE).
- Russ Wermers, University of Maryland
Just how successful is that investment? Measuring portfolio performance requires evaluation (measuring portfolio results against benchmarks) and attribution (determining individual results of the portfolio's parts), In this book, a professor and an asset manager show readers how to use theories, applications, and real data to understand these tools. Unlike others, Fischer and Wermers teach readers how to pick the theories and applications that fit their specific needs. With material inspired by the recent financial crisis, Fischer and Wermers bring new clarity to defining investment success.
Financial economics MA, MBA, and Ph.D. students studying asset pricing, portfolio management, financial management, and risk management.
Hardbound, 724 Pages
Published: December 2012
Imprint: Academic Press
"The authors provide an excellent comprehensive treatment, running from widely used traditional measures all the way to methods pushing the knowledge frontier, complemented with practical information such as global reporting standards. As such, this book is a valuable resource for anyone facing the important challenge of evaluating the performance of investment managers." --Robert F. Stambaugh, The Wharton School of the University of Pennsylvania. "Wermers and Fischer provide a timely review of a rapidly developing subject, pitched at roughly the advanced MBA level. It is particularly strong and useful in its coverage of holdings-based performance measurement. This is where the field is going, making the book a must-read." --Wayne Ferson, University of Southern California "An excellent in-depth review of state-of-the-art approaches to performance evaluation and attribution. A worthwhile read for both academics and practitioners." --Lubos Pastor, University of Chicago .
- The Theory of Performance Evaluation and Attribution
- Asset Pricing Theory and Empirical Results: An Overview
- Basic Performance Evaluation Approaches
- Applying the Basic Performance Evaluation Models
- Computing Returns and Abnormal Returns
- Potential Biases in Applying Performance Evaluation and Attribution Methods
- Equity Portfolios
- Fixed-Income Portfolios
- Models that Separate Selectivity From Timing Ability
- Performance Evaluation Methods that Use Portfolio-Holdings Information
- Conditional Performance Evaluation Models
- Bootstrapping Performance Without an Explicit Model or Benchmark
- Bootstrapping Performance with Complex Ranking Criteria
- Endogenous Benchmarks
- Simultaneous Performance Analysis of Multiple Funds
- Performance Evaluation for Hedge Fund Portfolios
- International Performance Evaluation and Attribution Methods
- Global Portfolio Performance Evaluation and Attribution