Performance evaluation and attribution of security portfolios /
Fischer, Bernd R.
Performance evaluation and attribution of security portfolios / by Bernd R. Fischer and Russell Wermers. - 1st ed. - Oxford : Academic Press, c2013. - xii, 711 p. : ill. ; 25 cm.
Includes bibliographical references (p. 683-695) and index.
Performance evaluation. An introduction to asset pricing models -- Returns-based performance evaluation models -- Returns-based performance measures -- Portfolio-holdings based performance evaluation -- Combining portfolio-holdings-based and returns-based performance evaluation -- Performance evaluation of non-normal portfolios -- Fund manager selection using macroeconomic information -- Multiple fund performance evaluation : the false discovery rate approach -- Active management in mostly efficient markets : a survey of the academic literature -- Performance analysis and reporting. Basic performance evaluation models -- Indices and the construction of benchmarks -- Attribution analysis for equity portfolios according to the Brinson approach -- Attribution analysis for fixed income portfolios -- Analysis of multi-asset class portfolios and hedge funds -- Attribution analysis with derivatives -- Global investment performance standards (GIPS)
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.
0127444831 9780127444833
2013370493
Investment analysis.
Investments--Evaluation.
HG4529 / .F57 2012
332.632042
Performance evaluation and attribution of security portfolios / by Bernd R. Fischer and Russell Wermers. - 1st ed. - Oxford : Academic Press, c2013. - xii, 711 p. : ill. ; 25 cm.
Includes bibliographical references (p. 683-695) and index.
Performance evaluation. An introduction to asset pricing models -- Returns-based performance evaluation models -- Returns-based performance measures -- Portfolio-holdings based performance evaluation -- Combining portfolio-holdings-based and returns-based performance evaluation -- Performance evaluation of non-normal portfolios -- Fund manager selection using macroeconomic information -- Multiple fund performance evaluation : the false discovery rate approach -- Active management in mostly efficient markets : a survey of the academic literature -- Performance analysis and reporting. Basic performance evaluation models -- Indices and the construction of benchmarks -- Attribution analysis for equity portfolios according to the Brinson approach -- Attribution analysis for fixed income portfolios -- Analysis of multi-asset class portfolios and hedge funds -- Attribution analysis with derivatives -- Global investment performance standards (GIPS)
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.
0127444831 9780127444833
2013370493
Investment analysis.
Investments--Evaluation.
HG4529 / .F57 2012
332.632042