Performance Evaluation and Attribution of Security Portfolios (Handbooks in Economics (Academic Press)) - Hardcover

Fischer, Bernd R.; Wermers, Russ

Hardcover

ISBN 10: 0127444831 ISBN 13: 9780127444833

Publisher: Academic Press, 2012

Synopsis

Just how talented are your investment managers?  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 very latest scientific 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
• Chapter-end problems build understanding
• Filled with examples that size-up real asset managers
• Includes extensive discussion and numerical examples of the widely used DGTW stock benchmark portfolios
• Features practice problems from the CFA Program curriculum.

About this title

About the Author

Bernd R. Fischer is a Managing Director of IDS GmbH - Analysis and Reporting Services (a subsidiary of Allianz SE), one of the largest internationally providers of operational investment controlling and reporting services for institutional investors and asset managers. From 2000 to 2009, 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, where his task included - among others - the design and the implementation of a performance attribution tool. Prior to this, he worked in the fields of Portfolio Analysis and Risk Controlling in the Asset Management division of Dresdner Bank. From 2000 to 2004, he was a member of the Investment Council of the CFA Institute. Dr. Fischer completed his degrees in Physics and Mathematics at the University of Cologne and was awarded his doctorate at the Florida Atlantic University (USA) in 1995.

Russ Wermers is Professor of Finance and Director of the Center for Financial Policy at the Smith School of Business, University of Maryland at College Park.  His main research interest is in assessing the performance of professional investment managers, including managers of mutual funds, hedge funds, and pension funds. His past research has developed new approaches to measuring investment manager performance, as well as devising winning strategies for investing in their funds. He has studied everything from the statistical behavior of measures of performance to the impact of independent directors on mutual fund performance. His papers have been published in The American Economic Review, The Review of Financial Studies, The Journal of Financial Economics, and The Journal of Finance.  Professor Wermers consults for the asset management industry as well as regulators. He received his Ph.D. from the University of California, Los Angeles, during 1995.

From the Back Cover

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.

Edition details

• Publisher: Academic Press
• Publication date: 2012
• Language: English
• ISBN 10: 0127444831
• ISBN 13: 9780127444833
• Binding: Hardcover
• Edition number: 1
• Number of pages: 724