Performance evaluation and attribution of security portfolios : [includes questions from the CFA Programm curriculum]

by Bernd Fischer & Russell Wermers

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 from the CFA Program curriculum

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Year of publication:	2013 ; 1. ed.
Authors:	Fischer, Bernd R.
Other Persons:	Wermers, Russ (contributor)
Publisher:	Oxford [u.a.] : Academic Press
Subject:	Portfolio-Management \| Portfolio selection \| Kapitalanlage \| Financial investment \| Investitionsanalyse \| Portfoliomanagement
Description of contents:	Table of Contents [swbplus.bsz-bw.de] ; Description [loc.gov]

Extent:	XII, 711 S. graph. Darst. 24 cm
Series:	Handbooks in economics series
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Lehrbuch ; Textbook
Language:	English
Notes:	Performance evaluation. An introduction to asset pricing modelsReturns-based performance evaluation models -- Returns-based performance measures -- Portfolio-holdings based performance evaluation -- Combining portfolio-holdings-based and returns-based performance evaluation -- Performance evaluation of non-normal portfolios -- Fund manager selection using macroeconomic information -- Multiple fund performance evaluation : the false discovery rate approach -- Active management in mostly efficient markets : a survey of the academic literature -- Performance analysis and reporting. Basic performance evaluation models -- Indices and the construction of benchmarks -- Attribution analysis for equity portfolios according to the Brinson approach -- Attribution analysis for fixed income portfolios -- Analysis of multi-asset class portfolios and hedge funds -- Attribution analysis with derivatives -- Global investment performance standards (GIPS) Erscheint: 01. September 2012
ISBN:	0-12-744483-1 ; 978-0-12-744483-3
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10009690873