Performance Evaluation and Attribution of Security Portfolios

Book Performance Evaluation and Attribution of Security Portfolios Cover

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  • Publisher : Academic Press
  • Release : 31 December 2012
  • ISBN : 9780080926520
  • Page : 724 pages
  • Rating : 4.5/5 from 103 voters

Performance Evaluation and Attribution of Security Portfolios Book PDF 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.

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Performance Evaluation and Attribution of Security Portfolios

Performance Evaluation and Attribution of Security Portfolios
  • Author : Bernd R. Fischer,Russ Wermers
  • Publisher : Academic Press
  • Release Date : 2012-12-31
  • ISBN : 9780080926520
DOWNLOAD 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 Date : 2011-02-23
  • ISBN : 1119995477
DOWNLOAD 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 and Attribution of Security Portfolios

Performance Evaluation and Attribution of Security Portfolios
  • Author : Bernd R. Fischer,Russ Wermers
  • Publisher : Academic Press
  • Release Date : 2022-03-15
  • ISBN : 0128183012
DOWNLOAD BOOKPerformance Evaluation and Attribution of Security Portfolios

Performance Analysis and Reporting, Second Edition explains the practical aspects of building or interpreting a top-to-bottom performance attribution system applicable to many asset classes. Requiring a familiarity with the principal concepts of portfolio analysis, it features standard methodologies and alternative approaches to the attribution of diverse assets, including derivatives, fixed income, and hedge funds. Based on the authors' Performance Evaluation and Attribution of Security Portfolios (2012), its concentration on the ethical standards embodied by GIPS includes a summary of provisions for

Portfolio Theory and Management

Portfolio Theory and Management
  • Author : H. Kent Baker,Greg Filbeck
  • Publisher : Oxford University Press
  • Release Date : 2013-03-07
  • ISBN : 9780199829699
DOWNLOAD BOOKPortfolio Theory and Management

Portfolio Theory and Management examines the foundations of portfolio management with the contributions of financial pioneers up to the latest trends. The book discusses portfolio theory and management both before and after the 2007-2008 financial crisis. It takes a global focus by highlighting cross-country differences and practices.

Portfolio Performance Evaluation

Portfolio Performance Evaluation
  • Author : George O. Aragon,Wayne E. Ferson
  • Publisher : Now Publishers Inc
  • Release Date : 2007-10-01
  • ISBN : 9781601980823
DOWNLOAD 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 Attribution: History and Progress

Performance Attribution: History and Progress
  • Author : Carl R. Bacon
  • Publisher : CFA Institute Research Foundation
  • Release Date : 2019-12-23
  • ISBN : 9781944960902
DOWNLOAD 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

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 Date : 2009-08-05
  • ISBN : 9780071713665
DOWNLOAD 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

Strategic and Tactical Asset Allocation

Strategic and Tactical Asset Allocation
  • Author : Henrik Lumholdt
  • Publisher : Palgrave MacMillan
  • Release Date : 2019-08-14
  • ISBN : 3030078027
DOWNLOAD BOOKStrategic and Tactical Asset Allocation

Asset Management and Institutional Investors

Asset Management and Institutional Investors
  • Author : Ignazio Basile,Pierpaolo Ferrari
  • Publisher : Springer
  • Release Date : 2016-07-27
  • ISBN : 9783319327969
DOWNLOAD 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

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 Date : 2020-05-26
  • ISBN : 9780691210612
DOWNLOAD 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 in Practice, Volume 3

Portfolio Management in Practice, Volume 3
  • Author : CFA Institute
  • Publisher : John Wiley & Sons
  • Release Date : 2020-11-11
  • ISBN : 9781119789284
DOWNLOAD 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

Investment Performance Measurement

Investment Performance Measurement
  • Author : Bruce J. Feibel
  • Publisher : John Wiley & Sons
  • Release Date : 2003-04-21
  • ISBN : 9780471445630
DOWNLOAD 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

CFA Program Curriculum 2017 Level II, Volumes 1 - 6

CFA Program Curriculum 2017 Level II, Volumes 1 - 6
  • Author : CFA Institute
  • Publisher : John Wiley & Sons
  • Release Date : 2016-08-01
  • ISBN : 9781119315735
DOWNLOAD BOOKCFA Program Curriculum 2017 Level II, Volumes 1 - 6

Master the practical aspects of the CFA Program Curriculum with expert instruction for the 2017 exam The same official curricula that CFA Program candidates receive with program registration is now publicly available for purchase. CFA Program Curriculum 2017 Level II, Volumes 1-6 provides the complete Level II Curriculum for the 2017 exam, with practical instruction on the Candidate Body of Knowledge (CBOK) and how it is applied, including expert guidance on incorporating concepts into practice. Level II focuses on complex analysis with an

The Advanced Fixed Income and Derivatives Management Guide

The Advanced Fixed Income and Derivatives Management Guide
  • Author : Saied Simozar
  • Publisher : John Wiley & Sons
  • Release Date : 2015-06-15
  • ISBN : 9781119014140
DOWNLOAD BOOKThe Advanced Fixed Income and Derivatives Management Guide

A highly-detailed, practical analysis of fixed income management The Advanced Fixed Income and Derivatives Management Guide provides a completely novel framework for analysis of fixed income securities and portfolio management, with over 700 useful equations. The most detailed analysis of inflation linked and corporate securities and bond options analysis available;, this book features numerous practical examples that can be used for creating alpha transfer to any fixed income portfolio. With a framework that unifies back office operations, such as risk management

Managing Investment Portfolios

Managing Investment Portfolios
  • Author : John L. Maginn,Donald L. Tuttle,Dennis W. McLeavey,Jerald E. Pinto
  • Publisher : John Wiley & Sons
  • Release Date : 2010-03-18
  • ISBN : 9780470635346
DOWNLOAD 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