This Second Edition of Performance Evaluation and Attribution Volume One: Asset Pricing and Models, presents an updated, comprehensive exploration of portfolio performance evaluation. Based on the authors’ Performance Evaluation and Attribution of Security Portfolios (2012), this volume of the second edition adds four new chapters and updated content throughout in its practical approach to measuring manager skills and using recent statistical techniques to solve investment problems. Added are new factor models, including the newly developed q-factor model, new examples, and new work on qualitative considerations that can be used in identifying skilled fund managers. This highly detailed new edition combines academic rigor with insights and guidance for real-world applications of diverse approaches to identifying skilled professional portfolio managers
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Preface CHAPTER 1 An introduction to asset pricing models CHAPTER 2 An introduction to returns-based performance evaluation and potential biases in its econometric application CHAPTER 3 Returns-based performance measures References CHAPTER 4 Portfolio holdings–based performance evaluation CHAPTER 5 Combining portfolio holdings-based and returns-based performance evaluation (and the “return gap”) CHAPTER 6 Fund manager selection using macroeconomic information CHAPTER 7 Performance evaluation of market timers: a new approach CHAPTER 8 Performance evaluation of non-normal portfolios CHAPTER 9 Multiple fund performance evaluation: the false discovery rate approach CHAPTER 10 Holding Horizon: a new measure of active CHAPTER 11 Target date funds: an analysis of strategies and performance CHAPTER 12 Fund rating systems CHAPTER 13 Active management in mostly efficient markets: a survey of the academic literature A complete solutions manual for all chapter-end problems in this volume is available from the author, russwermers@gmail.com
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Explains how to measure manager skills and how to apply these findings to practical problems by using the latest statistical techniques
Adds four new chapters; every other chapter has been expanded and updated Adds detailed derivations of the mathematics of mean-variance asset pricing, making the book suitable for an investments course at the Ph.D., Master’s, and (advanced) undergraduate levels Presents new material for target date funds as well as a comprehensive survey of fund ratings services A solutions manual for all chapter-end problems is available from the author: russwermers@gmail.com
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Produktdetaljer

ISBN
9780128182970
Publisert
2026-03-20
Utgave
2. utgave
Utgiver
Elsevier Science Publishing Co Inc
Vekt
2480 gr
Høyde
235 mm
Bredde
191 mm
Aldersnivå
U, 05
Språk
Product language
Engelsk
Format
Product format
Heftet
Antall sider
606

Biografisk notat

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. Brian Singer, CFA, is the co-CEO of Wealth Horizons Inc., a private wealth firm founded by seasoned investment professionals. With over four decades of global macro investment experience, he has served on multiple for-profit and not-for-profit boards and previously chaired the Board of Governors of the CFA Institute, the Research Foundation of the CFA Institute, and the CFA Institute Curriculum Committee. A published author of books, monographs, and articles, Brian has contributed to leading finance journals and is recognized for helping define the practice of macro investing — particularly in the areas of currency management, performance attribution, and risk management. He is a steadfast advocate for free-market solutions to society’s most complex challenges. He has a lovely wife, Linda, and two wonderful adult children, Margo and Andy. 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.