Performance Evaluation and Attribution of Security Portfolios

Performance Evaluation and Attribution of Security Portfolios, 1st Edition

Performance Evaluation and Attribution of Security Portfolios, 1st Edition,Bernd Fischer,Russ Wermers,ISBN9780127444833


Academic Press




240 X 197

    Gives readers the theories and the empirical tools to handle their own data
    Chapter-end problems build understanding
    Filled with examples that size-up real asset managers
    Features practice problems from the CFA Program curriculum.

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    Key Features

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


    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. 


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

    Bernd Fischer

    In 2009, Bernd Fischer was appointed to the position of Managing Director of IDS GmbH - Analysis and Reporting Services (a subsidary 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.

    Affiliations and Expertise

    Managing Director of IDS GmbH - Analysis and Reporting Services (a subsidiary of Allianz SE).

    Russ Wermers

    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.

    Affiliations and Expertise

    University of Maryland

    Performance Evaluation and Attribution of Security Portfolios, 1st Edition

  • 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
  • Quotes and reviews

    "…the new book…is the first one to present the actual status in theory and practice comprehensively and to combine the views of an academic…and a practitioner…this is a unique book and a must have for everybody seriously interested in these subject areas."--The Journal of Performance Management, Fall 2013
    "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

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