Performance Attribution Volume 2

Analysis and Reporting
2. Auflage 2025
ISBN: 978-0-12-818301-4
Verlag: Elsevier Science

Buch, Englisch, 400 Seiten, Format (B × H): 191 mm x 235 mm

Performance Attribution Volume 2: Analysis and Reporting, Second Edition explains the practical aspects of building or interpreting a top-to-bottom performance attribution system applicable to many asset classes. Requiring a familiarity with the principal concepts of portfolio analysis, it features standard methodologies and alternative approaches to the attribution of diverse assets, including derivatives, fixed income, and hedge funds. Based on the authors' Performance Evaluation and Attribution of Security Portfolios (2012), its concentration on the ethical standards embodied by GIPS includes a summary of provisions for the presentation of risk in a firm's investments.

Zielgruppe

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

Autoren/Hrsg.

Singer, Brian

Wermers, Russ

Fischer, Bernd R

Fachgebiete

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

Inhaltsverzeichnis

1. Basic Performance Evaluation Models
2. Indices and the Construction of Benchmarks
3. Attribution Analysis for Equity Portfolios According to the Brinson Approach
4. Attribution Analysis for Fixed Income Portfolios
5. Analysis of Multi-Asset Class Portfolios and Hedge Funds
6. Attribution Analysis with Derivatives
7. Global Investment Performance Standards (GIPS)
8. Return Calculation for Derivatives

Über Autor(innen)

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.

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.