Performance Evaluation and Attribution of Security Portfolios
1st Edition
Published on 28. December 2012
Book
Hardback
724 pages
978-0-12-744483-3 (ISBN)
Description
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.
Reviews / Votes
"In the current environment of dwindling excess returns (alpha), Bernd R. Fischer and Russ Wermers give readers the necessary tools to tackle and overcome the challenges of adding value through the efforts of active managers. This well-detailed volume establishes an excellent framework for manager evaluation and selection by delving into portfolios and analyzing them with meticulous methodologies. At the same time, the authors highlight pitfalls and traps to avoid....In summary, Fischer and Wermers evaluate several methodologies and studies and provide appropriate criticisms. They use real-life examples in their analyses of the practicality of the various approaches. The exhaustiveness of their efforts makes this volume a comprehensive one-stop shop for fund manager evaluation and portfolio analytics. Highly recommended for professionals who evaluate portfolio managers (e.g., wealth managers, advisers, fund allocators), Performance Evaluation and Attribution of Security Portfolios blends traditional concepts of portfolio evaluation with the latest academic findings. Unlike books that are either concerned exclusively with nuts-and-bolts issues or unduly theoretical, it provides an optimal balance for the benefit of both practitioners and academicians." -- Kishor Bagri, CFA, The CFA Institute Enterprising Investor blog"Performance Evaluation and Attribution of Security Portfolios is compulsory reading for anyone who has professional responsibilities that involves performance measurement. Fortunately for these readers the authors are writers with gifts rarely found in textbooks." --Jack L. Treynor, President of Treynor Capital Management
"This excellent book covers everything a practitioner needs to know to construct a comprehensive system for analyzing investment performance." -- Journal of Investment Management, Fourth Quarter 2014
"...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
More details
Language
English
Place of publication
San Diego
United States
Publishing group
Elsevier Science Publishing Co Inc
Target group
Professional and scholarly
Financial economics MA, MBA, and Ph.D. students studying asset pricing, portfolio management, financial management, and risk management
Product notice
sewn/stitched
Paper over boards
Dimensions
Height: 241 mm
Width: 202 mm
Thickness: 43 mm
Weight
1605 gr
ISBN-13
978-0-12-744483-3 (9780127444833)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Other editions
New editions
Russ Wermers | Brian Singer | Bernd R. Fischer
Performance Evaluation and Attribution Volume One
Asset Pricing and Models
Book
03/2026
2nd Edition
Academic Press
€133.70
Shipment within 15-20 days
Brian Singer | Russ Wermers | Bernd R. Fischer
Performance Attribution Volume 2
Analysis and Reporting
Book
approx. 02/2026
2nd Edition
Academic Press
€124.50
Not yet published
Additional editions
Bernd R. Fischer | Russ Wermers
Performance Evaluation and Attribution of Security Portfolios
E-Book
12/2012
Academic Press
€118.00
Available for download
Persons
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.
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.
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.
Content
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)
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)