Performance Evaluation and Attribution of Security Portfolios

1. Auflage 2012
ISBN: 978-0-12-744483-3
Verlag: Elsevier Health Sciences

Buch, Englisch, 724 Seiten, Format (B × H): 202 mm x 241 mm, Gewicht: 1605 g

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.


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

Zielgruppe

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

Autoren/Hrsg.

Fischer, Bernd R

Wermers, Russ

Fachgebiete

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

Inhaltsverzeichnis

- 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