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Full Description
This Second Edition of Performance Evaluation and Attribution Volume One: Asset Pricing and Models, presents an updated, comprehensive exploration of portfolio performance evaluation. Based on the authors' Performance Evaluation and Attribution of Security Portfolios (2012), this volume of the 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, new examples, and new work on qualitative considerations that can be used in identifying skilled fund managers. This highly detailed new edition combines academic rigor with insights and guidance for real-world applications of diverse approaches to identifying skilled professional portfolio managers
Contents
Preface
CHAPTER 1 An introduction to asset pricing models
CHAPTER 2 An introduction to returns-based performance
evaluation and potential biases in
its econometric application
CHAPTER 3 Returns-based performance measures
References
CHAPTER 4 Portfolio holdings-based performance
evaluation
CHAPTER 5 Combining portfolio holdings-based and
returns-based performance evaluation
(and the "return gap")
CHAPTER 6 Fund manager selection using macroeconomic
information
CHAPTER 7 Performance evaluation of market timers:
a new approach
CHAPTER 8 Performance evaluation of non-normal portfolios
CHAPTER 9 Multiple fund performance evaluation:
the false discovery rate approach
CHAPTER 10 Holding Horizon: a new measure of active
CHAPTER 11 Target date funds: an analysis of strategies
and performance
CHAPTER 12 Fund rating systems
CHAPTER 13 Active management in mostly efficient markets:
a survey of the academic literature
A complete solutions manual for all chapter-end problems in this volume
is available from the author, russwermers@gmail.com
