Performance Evaluation and Attribution of Security Portfolios

1st Edition

Print ISBN: 9780127444833
eBook ISBN: 9780080926520
Imprint: Academic Press
Published Date: 17th December 2012
Page Count: 724
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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. 

Key Features

  • Gives readers the theories and the empirical tools to handle their own data
  • Features practice problems formerly from the CFA Program curriculum.


Financial economics MA, MBA, and Ph.D. students studying asset pricing, portfolio management, financial management, and risk management. 

Table of Contents

Introduction to the Series


Section 1: Performance Evaluation

Chapter 1. An Introduction to Asset Pricing Models

1.1 Historical Asset Pricing Models

1.2 The Beginning of Modern Asset Pricing Models

1.3 Efficient Markets

1.4 Studies That Attack the CAPM

1.5 Does proving the CAPM wrong = Market inefficiency? Or, do efficient markets = the CAPM is correct?

1.6 Small Capitalization and Value Stocks

1.7 The Asset Pricing Models of Today

1.8 Chapter-End Problems


Chapter 2. Returns-Based Performance Evaluation Models

2.1 Introduction

2.2 Goals, Guidelines, and Perils of Performance Evaluation

2.3 Returns-Based Analysis

2.4 Chapter-End Problems


Chapter 3. Returns-Based Performance Measures

3.1 Introduction

3.2 Luck vs. Skill

3.3 The Ultimate Goal of Performance Measures

3.4 Two Non-Regression Approaches

3.5 Regression-Based Performance Measures

3.6 Chapter-End Problems


Chapter 4. Portfolio-Holdings Based Performance Evaluation

4.1 Introduction

4.2 Unconditional Holdings-Based Performance Measurement

4.3 Conditional Holdings-Based Performance Measurement

4.4 Chapter-End Problems


Chapter 5. Combining Portfolio-Holdings-Based and Returns-Based Performance Evaluation (and the “Return Gap”)

5.1 Introduction

5.2 Performance-Decomposition Methodology

5.3 Application to U.S. Domestic Equity Mutual Funds

5.4 Empirical Results for U.S. Domestic Equity Mutual Funds

5.5 Results for U.S. Domestic Corporate BOND Mutual Funds

5.6 Appendix A

5.7 Appendix B

5.8 Chapter-End Problems


Chapter 6. Performance Evaluation of Non-Normal Portfolios

6.1 Introduction


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"In the current environment of dwindling excess returns (alpha), Bernd R. Fischer and Russ Wermers give readers the necessary tools to tackle and overcome the challenges of adding value through the efforts of active managers. This well-detailed volume establishes an excellent framework for manager evaluation and selection by delving into portfolios and analyzing them with meticulous methodologies. At the same time, the authors highlight pitfalls and traps to avoid....In summary, Fischer and Wermers evaluate several methodologies and studies and provide appropriate criticisms. They use real-life examples in their analyses of the practicality of the various approaches.  The exhaustiveness of their efforts makes this volume a comprehensive one-stop shop for fund manager evaluation and portfolio analytics. Highly recommended for professionals who evaluate portfolio managers (e.g., wealth managers, advisers, fund allocators), Performance Evaluation and Attribution of Security Portfolios 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." -- Kishor Bagri, CFA, The CFA Institute Enterprising Investor blog

"Performance Evaluation and Attribution of Security Portfolios is compulsory reading for anyone who has professional responsibilities that involves performance measurement. Fortunately for these readers the authors are writers with gifts rarely found in textbooks." --Jack L. Treynor, President of Treynor Capital Management

"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