Performance Evaluation and Attribution Volume 1: Asset Pricing and Models

by Russ Wermers, Bernd R. Fischer

Overview

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, combines academic rigor with practical applications and guidance for applications of diverse approaches.

Product Details

ISBN-13:	9780128182970
Publisher:	Elsevier Science
Publication date:	10/01/2025
Edition description:	2nd ed.
Pages:	450
Product dimensions:	7.50(w) x 9.25(h) x (d)

About the Author

Russ Wermers is the Paul J. Cinquegrana '63 Endowed Chair in Finance and Director of the Center for Financial Policy (CFP) University of Maryland at College Park. His research, published in leading scholarly journals, has developed new approaches to measuring and attributing the performance of mutual funds, pension funds, and private equity funds, which, among other applications, can be used to identify superior active funds. Professor Wermers consults for the asset management industry. He received his Ph.D. from the University of California, Los Angeles, in December 1995.

Bernd Fischer has occupied various high profile positions including Managing Director of IDS GmbH - Analysis and Reporting Services (a subsidiary of Allianz SE), one of the largest internationally operating providers of operational investment controlling services for institutional investors and asset managers; he was Global Head of Risk Controlling and Compliance in the central business segment Asset Management of Commerzbank AG and was also responsible for the operational Risk and Performance Controlling division of Cominvest GmbH. Between 2000 and 2004, he was a member of the CFA Institute's Investment Council. Since 2020, he has worked as an independent writer, covering political, cultural and economic topics for renowned German journals and blogs.

Table of Contents

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

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From the Publisher

Explains how to measure manager skills and how to apply these findings to practical problems by using the latest statistical techniques