Performance Evaluation and Attribution of Security Portfolios

Other | December 31, 2012

byBernd R. Fischer, Bernd R. Fischer, Russ Wermers

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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.



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

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From the Publisher

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 understan...

Russ Wermers is an Associate Professor of Finance at the Smith School of Business, University of Maryland at College Park, where he won a campus-wide teaching award during 2005. His main research interests include studies of the efficiency of securities markets, as well as the role of institutional investors in setting stock prices. Mo...

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Format:OtherDimensions:724 pages, 1 × 1 × 1 inPublished:December 31, 2012Publisher:Academic PressLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0080926525

ISBN - 13:9780080926520

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Table of Contents

  • 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)