Performance Evaluation and Attribution of Security Portfolios book cover

Performance Evaluation and Attribution of Security Portfolios

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. 

Audience

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

ISBN: 978-0-12-744483-3

Reviews

  • "This excellent book covers everything a practitioner needs to know to construct a comprehensive system for analyzing investment performance." -- Journal of Investment Management, Fourth Quarter 2014

    "Highly recommended for professionals who evaluate portfolio managers…this book blends traditional concepts of portfolio evaluation with the latest academic findings. Unlike books that are either concerned exclusively with nuts-and-bolts issues or unduly theoretical, it provides an optimal balance for the benefit of both practitioners and academicians."--CFAPubs.org, July 17, 2014

    "…the new book…is the first one to present the actual status in theory and practice comprehensively and to combine the views of an academic…and a practitioner…this is a unique book and a must have for everybody seriously interested in these subject areas."--The Journal of Performance Management, Fall 2013

    "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

     

    "Highly recommended for professionals who evaluate portfolio managers (e.g., wealth managers, advisers, fund allocators), this book blends traditional concepts of portfolio evaluation with the latest academic findings. Unlike books that are either concerned exclusively with nuts-and-bolts issues or unduly theoretical, it provides an optimal balance for the benefit of both practitioners and academicians."  --CFA Institute Book Review


Contents

  • 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
  • Benchmarks
  • 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

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