Performance Evaluation and Attribution of Security Portfolios
Academic Press Inc (Verlag)
978-0-12-744483-3 (ISBN)
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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.
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.
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)
| Erscheint lt. Verlag | 28.12.2012 |
|---|---|
| Verlagsort | San Diego |
| Sprache | englisch |
| Maße | 191 x 235 mm |
| Gewicht | 1600 g |
| Themenwelt | Sachbuch/Ratgeber ► Beruf / Finanzen / Recht / Wirtschaft ► Geld / Bank / Börse |
| Mathematik / Informatik ► Mathematik ► Finanz- / Wirtschaftsmathematik | |
| Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung | |
| Betriebswirtschaft / Management ► Spezielle Betriebswirtschaftslehre ► Bankbetriebslehre | |
| Wirtschaft ► Betriebswirtschaft / Management ► Unternehmensführung / Management | |
| ISBN-10 | 0-12-744483-1 / 0127444831 |
| ISBN-13 | 978-0-12-744483-3 / 9780127444833 |
| Zustand | Neuware |
| Informationen gemäß Produktsicherheitsverordnung (GPSR) | |
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