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: 2480 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 Bankwirtschaft
• Wirtschaftswissenschaften Volkswirtschaftslehre Internationale Wirtschaft Internationale Finanzmärkte
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Anlagen & Wertpapiere
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Börse, Rohstoffe
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Internationale Finanzmärkte

Inhaltsverzeichnis

Preface
CHAPTER 1 An introduction to asset pricing models
CHAPTER 2 An introduction to returns-based performance
evaluation and potential biases in
its econometric application
CHAPTER 3 Returns-based performance measures
References
CHAPTER 4 Portfolio holdings–based performance
evaluation
CHAPTER 5 Combining portfolio holdings-based and
returns-based performance evaluation
(and the “return gap”)
CHAPTER 6 Fund manager selection using macroeconomic
information
CHAPTER 7 Performance evaluation of market timers:

a new approach
CHAPTER 8 Performance evaluation of non-normal portfolios
CHAPTER 9 Multiple fund performance evaluation:

the false discovery rate approach
CHAPTER 10 Holding Horizon: a new measure of active
CHAPTER 11 Target date funds: an analysis of strategies
and performance
CHAPTER 12 Fund rating systems
CHAPTER 13 Active management in mostly efficient markets:

a survey of the academic literature

A complete solutions manual for all chapter-end problems in this volume
is available from the author, [e-mail]

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.