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Performance Evaluation and Attribution of Security Portfolios

BuchGebunden
724 Seiten
Englisch
Academic Presserschienen am28.12.2012
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). This book shows readers how to use theories, applications, and real data to understand these tools.mehr
Verfügbare Formate
BuchGebunden
EUR145,50
E-BookEPUBDRM AdobeE-Book
EUR118,00

Produkt

KlappentextJust 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). This book shows readers how to use theories, applications, and real data to understand these tools.
Details
ISBN/GTIN978-0-12-744483-3
ProduktartBuch
EinbandartGebunden
Erscheinungsjahr2012
Erscheinungsdatum28.12.2012
Seiten724 Seiten
SpracheEnglisch
Gewicht1604 g
Artikel-Nr.12814573
Rubriken
GenreWirtschaft

Inhalt/Kritik

Inhaltsverzeichnis
Chapter 1 - An Introduction to Asset Pricing Models Chapter 2 - Returns-Based Performance Evaluation Models Chapter 3 - Returns-Based Performance Measures Chapter 4 - Portfolio-Holdings Based Performance Evaluation Chapter 5 - Combining Portfolio-Holdings-Based and Returns-Based Performance Evaluation (and the "Return Gap") Chapter 6 - Performance Evaluation of Non-Normal Portfolios Chapter 7 - Fund Manager Selection Using Macroeconomic Information Chapter 8 - Multiple Fund Performance Evaluation: The False Discovery Rate Approach Chapter 9 - Active Management in Mostly Efficient Markets: A Survey of the Academic Literature Chapter 10 - Basic Performance Evaluation Models Chapter 11 - Indices and the Construction of Benchmarks Chapter 12 - Attribution Analysis for Equity Portfolios According to the Brinson Approach Chapter 13 - Attribution Analysis for Fixed Income Portfolios Chapter 14 - Analysis of Multi-Asset Class Portfolios and Hedge Funds Chapter 15 - Attribution Analysis with Derivatives Chapter 16 - Global Investment Performance Standards (GIPS)mehr
Kritik
"The authors provide an excellent comprehensive treatment, running from widely used traditional measures all the way to methods pushing the knowledge frontier, complemented with practical information such as global reporting standards. As such, this book is a valuable resource for anyone facing the important challenge of evaluating the performance of investment managers."
--Robert F. Stambaugh, The Wharton School of the University of Pennsylvania.
"Wermers and Fischer provide a timely review of a rapidly developing subject, pitched at roughly the advanced MBA level. It is particularly strong and useful in its coverage of holdings-based performance measurement. This is where the field is going, making the book a must-read."
--Wayne Ferson, University of Southern California
"An excellent in-depth review of state-of-the-art approaches to performance evaluation and attribution. A worthwhile read for both academics and practitioners."
--Lubos Pastor, University of Chicago
.mehr

Autor

In 2009, Bernd Fischer was appointed to the position of 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. From 2000 to 2009, 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. Prior to this, he worked in the fields of Portfolio Analysis and Risk Controlling in the Asset Management division of Dresdner Bank. From 2000 to 2004, he was a member of the Investment Council of the CFA Institute. Dr. Fischer completed his degrees in Physics and Mathematics at the University of Cologne and was awarded his doctorate at the Florida Atlantic University (USA) in 1995.Russ Wermers is an Associate Professor of Finance at the Smith School of Business, University of Maryland at College Park, where he won a campus-wide teaching award during 2005. His main research interests include studies of the efficiency of securities markets, as well as the role of institutional investors in setting stock prices. Most notably, his past research has developed new approaches to measuring and attributing the performance of mutual funds, pension funds, and hedge funds, as well as devising winning strategies for investing in these funds. Professor Wermers received his Ph.D. from the University of California, Los Angeles, in 1995.