Item Details

Performance Evaluation and Attribution of Security Portfolios [electronic resource]

by Bernd R. Fischer and Russell Wermers
Format
EBook; Book; Online
Published
Oxford : Academic Press, c2013.
Edition
1st ed
Language
English
ISBN
0127444831, 9780127444833
Summary
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.
Contents
  • Performance evaluation. An introduction to asset pricing models
  • Returns-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)
Description
Mode of access: World wide Web.
Notes
Includes bibliographical references (p. 683-695) and index.
Logo for Copyright Not EvaluatedCopyright Not Evaluated
Technical Details
  • Access in Virgo Classic

  • LEADER 02970nam a2200385 a 4500
    001 u6430381
    003 SIRSI
    005 20141122114644.0
    006 m d
    007 cr n
    008 130516s2013 enka esb 001 0 eng d
    010
      
      
    a| 2013370493
    020
      
      
    a| 0127444831
    020
      
      
    a| 9780127444833
    035
      
      
    a| (WaSeSS)ssj0000810145
    040
      
      
    a| AU@ b| eng c| AU@ d| OCLCO d| CDX d| MOU d| DLC d| WaSeSS
    042
      
      
    a| lccopycat
    050
    0
    0
    a| HG4529 b| .F57 2012
    082
    0
    4
    a| 332.632042 2| 23
    100
    1
      
    a| Fischer, Bernd R.
    245
    1
    0
    a| Performance evaluation and attribution of security portfolios h| [electronic resource] / c| by Bernd R. Fischer and Russell Wermers.
    250
      
      
    a| 1st ed.
    260
      
      
    a| Oxford : b| Academic Press, c| c2013.
    504
      
      
    a| Includes bibliographical references (p. 683-695) and index.
    505
    0
      
    a| Performance evaluation. An introduction to asset pricing models -- Returns-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)
    520
      
      
    a| 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.
    538
      
      
    a| Mode of access: World wide Web.
    650
      
    0
    a| Investment analysis.
    650
      
    0
    a| Investments x| Evaluation.
    655
      
    0
    a| Electronic books.
    700
    1
      
    a| Wermers, Russell.
    710
    2
      
    a| Safari Books Online
    856
    4
    0
    u| http://RE5QY4SB7X.search.serialssolutions.com/?V=1.0&L=RE5QY4SB7X&S=JCs&C=TC0000810145&T=marc
    596
      
      
    a| 1
    999
      
      
    a| XX(6430381.1) w| WEB i| 6430381-1001 l| INTERNET m| UVA-LIB t| INTERNET

Availability

Google Preview

Read Online