Performance Evaluation and Attribution Volume One

Asset Pricing and Models
2. Auflage 2026
ISBN: 978-0-12-818297-0
Verlag: William Andrew Publishing

Buch, Englisch, 500 Seiten, Format (B × H): 191 mm x 235 mm, Gewicht: 450 g

This Second Edition of Performance Evaluation and Attribution Volume One: Asset Pricing and Models, presents an updated, comprehensive exploration of portfolio performance evaluation. Based on the authors’ Performance Evaluation and Attribution of Security Portfolios (2012), this volume of the second edition adds four new chapters and updated content throughout in its practical approach to measuring manager skills and using recent statistical techniques to solve investment problems. Added are new factor models, including the newly developed q-factor model, new examples, and new work on qualitative considerations that can be used in identifying skilled fund managers. This highly detailed new edition combines academic rigor with insights and guidance for real-world applications of diverse approaches to identifying skilled professional portfolio managers

Zielgruppe

<p>Upper-division undergraduates, graduate students, and professionals worldwide working in the management of diverse types of financial funds</p>

Autoren/Hrsg.

Wermers, Russ

Singer, Brian

Fischer, Bernd R.

Fachgebiete

• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Anlagen & Wertpapiere
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Börse, Rohstoffe
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Bankwirtschaft
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Internationale Finanzmärkte
• Wirtschaftswissenschaften Volkswirtschaftslehre Internationale Wirtschaft Internationale Finanzmärkte

Inhaltsverzeichnis

1. An Introduction to Asset Pricing Models
2. Returns-Based Performance Evaluation Models
3. Returns-Based Performance Measures
4. Portfolio-Holdings Based Performance Evaluation
5. Combining Portfolio-Holdings-Based and Returns-Based Performance Evaluation (and the "Return Gap")
6. Performance Evaluation of Non-Normal Portfolios
7. Fund Manager Selection Using Macroeconomic Information
8. Multiple Fund Performance Evaluation: The False Discovery Rate Approach
9. Active Management in Mostly Efficient Markets: A Survey of the Academic Literature
10. Performance Evaluation of Professional Ratings Services
11. Performance Evaluation of Target-Date Funds
12. Qualitative Considerations in Performance Evaluation
13. Exchange-Traded Funds

Über Autor(innen)

Wermers, Russ
Russ Wermers is the Paul J. Cinquegrana '63 Endowed Chair in Finance and Director of the Center for Financial Policy (CFP) University of Maryland at College Park. His research, published in leading scholarly journals, has developed new approaches to measuring and attributing the performance of mutual funds, pension funds, and private equity funds, which, among other applications, can be used to identify superior active funds. Professor Wermers consults for the asset management industry. He received his Ph.D. from the University of California, Los Angeles, in December 1995.

Singer, Brian
Brian Singer, CFA, is the co-CEO of Wealth Horizons Inc., a private wealth firm founded by seasoned investment professionals. With over four decades of global macro investment experience, he has served on multiple for-profit and not-for-profit boards and previously chaired the Board of Governors of the CFA Institute, the Research Foundation of the CFA Institute, and the CFA Institute Curriculum Committee.

A published author of books, monographs, and articles, Brian has contributed to leading finance journals and is recognized for helping define the practice of macro investing — particularly in the areas of currency management, performance attribution, and risk management. He is a steadfast advocate for free-market solutions to society’s most complex challenges.

He has a lovely wife, Linda, and two wonderful adult children, Margo and Andy.

Fischer, Bernd R.
Bernd Fischer has occupied various high profile positions including Managing Director of IDS GmbH - Analysis and Reporting Services (a subsidiary of Allianz SE), one of the largest internationally operating providers of operational investment controlling services for institutional investors and asset managers; he was Global Head of Risk Controlling and Compliance in the central business segment Asset Management of Commerzbank AG and was also responsible for the operational Risk and Performance Controlling division of Cominvest GmbH. Between 2000 and 2004, he was a member of the CFA Institute's Investment Council. Since 2020, he has worked as an independent writer, covering political, cultural and economic topics for renowned German journals and blogs.