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基本説明
Measuring portfolio performance requires evaluation (measuring portfolio results against benchmarks) and attribution (determining individual results of the portfolio's parts).
Full Description
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.
Contents
Chapter 1 - An Introduction to Asset Pricing Models
Chapter 2 - Returns-Based Performance Evaluation Models
Chapter 3 - Returns-Based Performance Measures
Chapter 4 - Portfolio-Holdings Based Performance Evaluation
Chapter 5 - Combining Portfolio-Holdings-Based and Returns-Based Performance Evaluation (and the "Return Gap")
Chapter 6 - Performance Evaluation of Non-Normal Portfolios
Chapter 7 - Fund Manager Selection Using Macroeconomic Information
Chapter 8 - Multiple Fund Performance Evaluation: The False Discovery Rate Approach
Chapter 9 - Active Management in Mostly Efficient Markets: A Survey of the Academic Literature
Chapter 10 - Basic Performance Evaluation Models
Chapter 11 - Indices and the Construction of Benchmarks
Chapter 12 - Attribution Analysis for Equity Portfolios According to the Brinson Approach
Chapter 13 - Attribution Analysis for Fixed Income Portfolios
Chapter 14 - Analysis of Multi-Asset Class Portfolios and Hedge Funds
Chapter 15 - Attribution Analysis with Derivatives
Chapter 16 - Global Investment Performance Standards (GIPS)
