- 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.
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
Potential Biases in Applying Performance Evaluation and Attribution Methods
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
Simultaneous Performance Analysis of Multiple Funds
Performance Evaluation for Hedge Fund Portfolios
International Performance Evaluation and Attribution Methods
Global Portfolio Performance Evaluation and Attribution