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Performance Evaluation and Attribution of Security Portfolios

Author

Listed:
  • Fischer, Bernd R.

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

  • Wermers, Russ

    (University of Maryland)

Abstract

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

Suggested Citation

  • Fischer, Bernd R. & Wermers, Russ, 2012. "Performance Evaluation and Attribution of Security Portfolios," Elsevier Monographs, Elsevier, edition 1, number 9780127444833.
    • Handle: RePEc:eee:monogr:9780127444833
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    Citations

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    Cited by:

    1. Monica Billio & Bertrand Maillet & Loriana Pelizzon, 2022. "A meta-measure of performance related to both investors and investments characteristics," Annals of Operations Research, Springer, vol. 313(2), pages 1405-1447, June.
    2. Hunter, David & Kandel, Eugene & Kandel, Shmuel & Wermers, Russ, 2014. "Mutual fund performance evaluation with active peer benchmarks," Journal of Financial Economics, Elsevier, vol. 112(1), pages 1-29.
    3. N.A. Gorbunova, 2016. "Methods of Analysis of Equity Securities Risk and Return: Issues and Prospects," European Research Studies Journal, European Research Studies Journal, vol. 0(3A), pages 228-249.
    4. Lu Zhang, 2017. "The Investment CAPM," European Financial Management, European Financial Management Association, vol. 23(4), pages 545-603, September.
    5. Sha, Yezhou & Gao, Ran, 2019. "Which is the best: A comparison of asset pricing factor models in Chinese mutual fund industry," Economic Modelling, Elsevier, vol. 83(C), pages 8-16.
    6. Elyasiani, Elyas & Rytchkov, Oleg & Stetsyuk, Ivan, 2022. "Do real estate mutual fund managers create value?," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 396-406.
    7. Guzzetti, Marco, 2020. "Approximating the time-weighted return: The case of flows at unknown time," Insurance: Mathematics and Economics, Elsevier, vol. 90(C), pages 25-34.

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