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

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9780127444833: Performance Evaluation and Attribution of Security Portfolios (Handbooks in Economics (Academic Press))

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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Review:

"In the current environment of dwindling excess returns (alpha), Bernd R. Fischer and Russ Wermers give readers the necessary tools to tackle and overcome the challenges of adding value through the efforts of active managers. This well-detailed volume establishes an excellent framework for manager evaluation and selection by delving into portfolios and analyzing them with meticulous methodologies. At the same time, the authors highlight pitfalls and traps to avoid....In summary, Fischer and Wermers evaluate several methodologies and studies and provide appropriate criticisms. They use real-life examples in their analyses of the practicality of the various approaches.  The exhaustiveness of their efforts makes this volume a comprehensive one-stop shop for fund manager evaluation and portfolio analytics. Highly recommended for professionals who evaluate portfolio managers (e.g., wealth managers, advisers, fund allocators), Performance Evaluation and Attribution of Security Portfolios blends traditional concepts of portfolio evaluation with the latest academic findings. Unlike books that are either concerned exclusively with nuts-and-bolts issues or unduly theoretical, it provides an optimal balance for the benefit of both practitioners and academicians." -- Kishor Bagri, CFA, The CFA Institute Enterprising Investor blog

"Performance Evaluation and Attribution of Security Portfolios is compulsory reading for anyone who has professional responsibilities that involves performance measurement. Fortunately for these readers the authors are writers with gifts rarely found in textbooks." --Jack L. Treynor, President of Treynor Capital Management

"This excellent book covers everything a practitioner needs to know to construct a comprehensive system for analyzing investment performance." -- Journal of Investment Management, Fourth Quarter 2014

"...the new book...is the first one to present the actual status in theory and practice comprehensively and to combine the views of an academic...and a practitioner...this is a unique book and a must have for everybody seriously interested in these subject areas."--The Journal of Performance Management, Fall 2013

"The authors provide an excellent comprehensive treatment, running from widely used traditional measures all the way to methods pushing the knowledge frontier, complemented with practical information such as global reporting standards. As such, this book is a valuable resource for anyone facing the important challenge of evaluating the performance of investment managers."--Robert F. Stambaugh, The Wharton School of the University of Pennsylvania

"Wermers and Fischer provide a timely review of a rapidly developing subject, pitched at roughly the advanced MBA level. It is particularly strong and useful in its coverage of holdings-based performance measurement. This is where the field is going, making the book a must-read."--Wayne Ferson, University of Southern California

"An excellent in-depth review of state-of-the-art approaches to performance evaluation and attribution. A worthwhile read for both academics and practitioners."--Lubos Pastor, University of Chicago

 

Review:

"This excellent book covers everything a practitioner needs to know to construct a comprehensive system for analyzing investment performance." -- Journal of Investment Management, Fourth Quarter 2014 "Highly recommended for professionals who evaluate portfolio managers.this book blends traditional concepts of portfolio evaluation with the latest academic findings. Unlike books that are either concerned exclusively with nuts-and-bolts issues or unduly theoretical, it provides an optimal balance for the benefit of both practitioners and academicians."--CFAPubs.org, July 17, 2014 ".the new book.is the first one to present the actual status in theory and practice comprehensively and to combine the views of an academic.and a practitioner.this is a unique book and a must have for everybody seriously interested in these subject areas."--The Journal of Performance Management, Fall 2013 "The authors provide an excellent comprehensive treatment, running from widely used traditional measures all the way to methods pushing the knowledge frontier, complemented with practical information such as global reporting standards. As such, this book is a valuable resource for anyone facing the important challenge of evaluating the performance of investment managers."--Robert F. Stambaugh, The Wharton School of the University of Pennsylvania "Wermers and Fischer provide a timely review of a rapidly developing subject, pitched at roughly the advanced MBA level. It is particularly strong and useful in its coverage of holdings-based performance measurement. This is where the field is going, making the book a must-read."--Wayne Ferson, University of Southern California "An excellent in-depth review of state-of-the-art approaches to performance evaluation and attribution. A worthwhile read for both academics and practitioners."--Lubos Pastor, University of Chicago "Highly recommended for professionals who evaluate portfolio managers (e.g., wealth managers, advisers, fund allocators), this book blends traditional concepts of portfolio evaluation with the latest academic findings. Unlike books that are either concerned exclusively with nuts-and-bolts issues or unduly theoretical, it provides an optimal balance for the benefit of both practitioners and academicians." --CFA Institute Book Review

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