Russ Wermers, Bernd R Fischer

Performance Evaluation and Attribution Volume 1

Asset Pricing and Models

• Broschiertes Buch

Produktbeschreibung

Performance Evaluation and Attribution Volume 1: Asset Pricing and Models, 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 performance evaluation. Highly detailed, Performance Evaluation and Attribution Volume 1: Asset Pricing and Models, Second Edition, Second Edition, combines academic rigor with practical applications and guidance for applications of diverse approaches.

Produktdetails

• Verlag: Elsevier Health Sciences
• 2nd edition
• Seitenzahl: 450
• Erscheinungstermin: 1. Januar 2025
• Englisch
• ISBN-13: 9780128182970
• ISBN-10: 0128182970
• Artikelnr.: 60004682

Autorenporträt

Russ Wermers is an Associate Professor of Finance at the Smith School of Business, University of Maryland at College Park, where he won a campus-wide teaching award during 2005. His main research interests include studies of the efficiency of securities markets, as well as the role of institutional investors in setting stock prices. Most notably, his past research has developed new approaches to measuring and attributing the performance of mutual funds, pension funds, and hedge funds, as well as devising winning strategies for investing in these funds. Professor Wermers received his Ph.D. from the University of California, Los Angeles, in 1995.

Inhaltsangabe

1. An Introduction to Asset Pricing Models 2. Returns-Based Performance
Evaluation Models 3. Returns-Based Performance Measures 4.
Portfolio-Holdings Based Performance Evaluation 5. Combining
Portfolio-Holdings-Based and Returns-Based Performance Evaluation (and the
"Return Gap") 6. Performance Evaluation of Non-Normal Portfolios 7. Fund
Manager Selection Using Macroeconomic Information 8. Multiple Fund
Performance Evaluation: The False Discovery Rate Approach 9. Active
Management in Mostly Efficient Markets: A Survey of the Academic Literature
10. Performance Evaluation of Professional Ratings Services 11. Performance
Evaluation of Target-Date Funds 12. Qualitative Considerations in
Performance Evaluation 13. Exchange-Traded Funds