ポートフォリオのパフォーマンス評価（第２版） Performance Evaluation and Attribution Volume 1 : Asset Pricing and Models （2ND）

Wermers, Russ/ Fischer, Bernd R.

Academic Press Inc（2025/10発売）

• 製本 Paperback:紙装版/ペーパーバック版／ページ数 450 p.
• 言語 ENG
• 商品コード 9780128182970
• DDC分類 332.632042

Full Description

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.

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