Performance Evaluation and Attribution of Security Portfolios

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.

Produk Detail:

  • Author : Bernd R. Fischer
  • Publisher : Academic Press
  • Pages : 724 pages
  • ISBN : 0080926525
  • Rating : 4/5 from 21 reviews
CLICK HERE TO GET THIS BOOKPerformance Evaluation and Attribution of Security Portfolios

Performance Evaluation and Attribution of Security Portfolios

Performance Evaluation and Attribution of Security Portfolios
  • Author : Bernd R. Fischer,Russ Wermers
  • Publisher : Academic Press
  • Release : 31 December 2012
GET THIS BOOKPerformance Evaluation and Attribution of Security Portfolios

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

Performance Evaluation

Performance Evaluation
  • Author : Bernd R. Fischer,Russ Wermers
  • Publisher : Academic Press
  • Release : 01 September 2020
GET THIS BOOKPerformance Evaluation

Performance Evaluation, Second Edition, presents an updated, comprehensive exploration of portfolio evaluation. Based on the authors’ Performance Evaluation and Attribution of Security Portfolios (2012) this Second Edition adds four new chapters and updated content throughout in its practical approach to measuring manager skills and using recent statistical techniques to solve investment problems. Added are new factor models, including the newly developed q-factor model and the new models of Fama and French; new examples; and new work on qualitative considerations used in

Practical Portfolio Performance Measurement and Attribution

Practical Portfolio Performance Measurement and Attribution
  • Author : Carl R. Bacon
  • Publisher : John Wiley & Sons
  • Release : 23 February 2011
GET THIS BOOKPractical Portfolio Performance Measurement and Attribution

Performance measurement and attribution are key tools in informing investment decisions and strategies. Performance measurement is the quality control of the investment decision process, enabling money managers to calculate return, understand the behaviour of a portfolio of assets, communicate with clients and determine how performance can be improved. Focusing on the practical use and calculation of performance returns rather than the academic background, Practical Portfolio Performance Measurement and Attribution provides a clear guide to the role and implications of these

Performance Attribution: History and Progress

Performance Attribution: History and Progress
  • Author : Carl R. Bacon
  • Publisher : CFA Institute Research Foundation
  • Release : 23 December 2019
GET THIS BOOKPerformance Attribution: History and Progress

The objective of performance attribution is to explain portfolio performance relative to a benchmark, identify the sources of excess return, and relate those sources to active decisions by the portfolio manager. This review charts the development of attribution from its beginning with Fama decomposition in the 1970s, through its foundations in the 1980s, into its issues of multiperiod and multicurrency attribution in the 1990s, and ending on its more detailed models for fixed-income and risk-adjusted attribution in recent years. Types

Asset Management and Institutional Investors

Asset Management and Institutional Investors
  • Author : Ignazio Basile,Pierpaolo Ferrari
  • Publisher : Springer
  • Release : 27 July 2016
GET THIS BOOKAsset Management and Institutional Investors

This book analyses investment management policies for institutional investors. It is composed of four parts. The first one analyses the various types of institutional investors, institutions which, with different objectives, professionally manage portfolios of financial and real assets on behalf of a wide variety of individuals. This part goes on with an in-depth analysis of the economic, technical and regulatory characteristics of the different types of investment funds and of other types of asset management products, which have a high

Portfolio Management in Practice, Volume 3

Portfolio Management in Practice, Volume 3
  • Author : CFA Institute
  • Publisher : John Wiley & Sons
  • Release : 11 November 2020
GET THIS BOOKPortfolio Management in Practice, Volume 3

Discover the latest essential resource on equity portfolio management for students and investment professionals. Part of the CFA Institute's three-volume Portfolio Management in Practice series, Equity Portfolio Management offers a fuller treatment of active versus passive equity investment strategies. This text outlines key topics in the portfolio management process with clear, concise language to serve as an accessible guide for students and current industry professionals. Building on content in the Investment Management and Equity Valuation volumes in the CFA Institute

Portfolio Performance Measurement and Benchmarking

Portfolio Performance Measurement and Benchmarking
  • Author : Jon A. Christopherson,David R. Carino,Wayne E. Ferson
  • Publisher : McGraw Hill Professional
  • Release : 05 August 2009
GET THIS BOOKPortfolio Performance Measurement and Benchmarking

In order to make sound investment choices, investors must know the projected return on investment in relation to the risk of not being paid. Benchmarks are excellent evaluators, but the failure to choose the right investing performance benchmark often leads to bad decisions or inaction, which inevitably results in lost profits. The first book of its kind, Portfolio Performance Measurement and Benchmarking is a complete guide to benchmarks and performace evaluation using benchmarks. In one inclusive volume, readers get foundational

Balanced Asset Allocation

Balanced Asset Allocation
  • Author : Alex Shahidi
  • Publisher : John Wiley & Sons
  • Release : 31 December 2014
GET THIS BOOKBalanced Asset Allocation

The conventional portfolio is prone to frequent and potentially devastating losses because it is NOT balanced to different economic outcomes. In contrast, a truly balanced portfolio can help investors reduce risk and more reliably achieve their objectives. This simple fact would surprise most investors, from beginners to professionals. Investment consultant Alex Shahidi puts his 15 years of experience advising the most sophisticated investors in the world and managing multi-billion dollar portfolios to work in this important resource for investors. You will

Patient Capital

Patient Capital
  • Author : Victoria Ivashina,Josh Lerner
  • Publisher : Princeton University Press
  • Release : 13 April 2021
GET THIS BOOKPatient Capital

How to overcome barriers to the long-term investments that are essential for solving the world’s biggest problems There has never been a greater need for long-term investments to tackle the world’s most difficult problems, such as climate change, human health, and decaying infrastructure. And it is increasingly unlikely that the public sector will be willing or able to fill this gap. If these critical needs are to be met, the major pools of long-term, patient capital—including pensions,

Portfolio Performance Evaluation

Portfolio Performance Evaluation
  • Author : George O. Aragon,Wayne E. Ferson
  • Publisher : Now Publishers Inc
  • Release : 01 October 2007
GET THIS BOOKPortfolio Performance Evaluation

Portfolio Performance Evaluation provides a selective review of the methods for measuring portfolio performance and the evidence on the performance of professionally managed investment portfolios. There is also a discussion of hedge funds presenting unique challenges for measuring risk adjusted performance and for interpreting performance measures.

Investment Performance Measurement

Investment Performance Measurement
  • Author : Philip Lawton, CIPM,Todd Jankowski, CFA
  • Publisher : John Wiley & Sons
  • Release : 28 April 2009
GET THIS BOOKInvestment Performance Measurement

Investment Performance Measurement Over the past two decades, the importance of measuring, presenting, and evaluating investment performance results has dramatically increased. With the growth of capital market data services, the development of quantitative analytical techniques, and the widespread acceptance of Global Investment Performance Standards (GIPS®), this discipline has emerged as a central component of effective asset management and, thanks in part to the Certificate in Investment Performance Measurement (CIPM) program, has become a recognized area of specialization for investment professionals.

Quantitative Management of Bond Portfolios

Quantitative Management of Bond Portfolios
  • Author : Lev Dynkin,Anthony Gould,Jay Hyman,Vadim Konstantinovsky,Bruce Phelps
  • Publisher : Princeton University Press
  • Release : 26 May 2020
GET THIS BOOKQuantitative Management of Bond Portfolios

The practice of institutional bond portfolio management has changed markedly since the late 1980s in response to new financial instruments, investment methodologies, and improved analytics. Investors are looking for a more disciplined, quantitative approach to asset management. Here, five top authorities from a leading Wall Street firm provide practical solutions and feasible methodologies based on investor inquiries. While taking a quantitative approach, they avoid complex mathematical derivations, making the book accessible to a wide audience, including portfolio managers, plan sponsors,

Student-Managed Investment Funds

Student-Managed Investment Funds
  • Author : Brian Bruce
  • Publisher : Academic Press
  • Release : 29 July 2020
GET THIS BOOKStudent-Managed Investment Funds

Student-Managed Investment Funds: Organization, Policy, and Portfolio Management, Second Edition, helps students work within a structured investment management organization, whatever that organizational structure might be. It aids them in developing an appreciation for day-to-day fund operations (e.g., how to get portfolio trade ideas approved, how to execute trades, how to reconcile investment performance), and it addresses the management of the portfolio and the valuation/selection process for discriminating between securities. No other book covers the "operational" related issues in

Investment Performance Measurement

Investment Performance Measurement
  • Author : Bruce J. Feibel
  • Publisher : John Wiley & Sons
  • Release : 21 April 2003
GET THIS BOOKInvestment Performance Measurement

Many investment books include a chapter or two on investment performance measurement or focus on a single aspect, but only one book addresses the breadth of the field. Investment Performance Measurement is a comprehensive guide that covers the subjects of performance and risk calculation, attribution, presentation, and interpretation. This information-packed book covers a wide range of related topics, including calculation of the returns earned by portfolios; measurement of the risks taken to earn these returns; measurement of the risk and

Pricing, Risk, and Performance Measurement in Practice

Pricing, Risk, and Performance Measurement in Practice
  • Author : Wolfgang Schwerdt,Marcelle von Wendland
  • Publisher : Academic Press
  • Release : 22 October 2009
GET THIS BOOKPricing, Risk, and Performance Measurement in Practice

How can managers increase their ability to calculate price and risk data for financial instruments while decreasing their dependence on a myriad of specific instrument variants? Wolfgang Schwerdt and Marcelle von Wendland created a simple and consistent way to handle and process large amounts of complex financial data. By means of a practical framework, their approach analyzes market and credit risk exposure of financial instruments and portfolios and calculates risk adjusted performance measures. Its emphasis on standardization yields significant improvements