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Performance Evaluation and Attribution of Security Portfolios

Performance Evaluation and Attribution of Security Portfolios
  • Author : Bernd R. Fischer
  • Publsiher : Academic Press
  • Release : 31 December 2012
  • ISBN : 0080926525
  • Pages : 724 pages
  • Rating : 4/5 from 21 ratings
GET THIS BOOKPerformance Evaluation and Attribution of Security Portfolios

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 formerly from the CFA Program curriculum.


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


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 Evaluation

Performance Evaluation
  • Author : BERND R. FISCHER,Russ Wermers
  • Publisher : Academic Press
  • Release : 15 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


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.


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


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


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.


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


Managing Investment Portfolios

Managing Investment Portfolios
  • Author : John L. Maginn,Donald L. Tuttle,Dennis W. McLeavey,Jerald E. Pinto
  • Publisher : John Wiley & Sons
  • Release : 18 March 2010
GET THIS BOOKManaging Investment Portfolios

"A rare blend of a well-organized, comprehensive guide to portfolio management and a deep, cutting-edge treatment of the key topics by distinguished authors who have all practiced what they preach. The subtitle, A Dynamic Process, points to the fresh, modern ideas that sparkle throughout this new edition. Just reading Peter Bernstein's thoughtful Foreword can move you forward in your thinking about this critical subject." —Martin L. Leibowitz, Morgan Stanley "Managing Investment Portfolios remains the definitive volume in explaining investment management


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


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


Practical Portfolio Performance Measurement and Attribution

Practical Portfolio Performance Measurement and Attribution
  • Author : Carl R. Bacon
  • Publisher : John Wiley & Sons
  • Release : 08 April 2005
GET THIS BOOKPractical Portfolio Performance Measurement and Attribution

Practical Performance Measurement and Attribution provides a clear introduction to the subject of performance measurement. Focusing more on the practical use and calculation of performance returns rather than the academic background it will help readers gain a clear understanding of the role and implications of performance measurement in today's financial environment. "Carl’s book is a ‘must have’ resource - the complete A to Z of the increasingly complex field of performance measurement." Glenn Solomon, Global Head of Institutional Clients,


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,


Portfolio Management

Portfolio Management
  • Author : Scott Stewart,Christopher D. Piros,Jeffrey Heisler
  • Publisher : Wiley
  • Release : 26 March 2019
GET THIS BOOKPortfolio Management

A career’s worth of portfolio management knowledge in one thorough, efficient guide Professional Portfolio Management is an authoritativeguide for those who wish to manage money professionally. This invaluable resource presents effective portfolio management practices supported by their underlying theory, providing the tools and instruction required to meet investor objectives and deliver superior performance. Highlighting a practitioner’s view of portfolio management, this guide offers real-world perspective on investment processes, portfolio decision making, and the business of managing money for


Investment Performance Measurement

Investment Performance Measurement
  • Author : Bruce J. Feibel
  • Publisher : Wiley
  • 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