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- Adds four new chapters; every other chapter has been expanded and updated- Adds detailed derivations of the mathematics of mean-variance asset pricing, making the book suitable for an investments course at the Ph.D., Master's, and (advanced) undergraduate levels- Presents new material for target date funds as well as a comprehensive survey of fund ratings services- A solutions manual for all chapter-end problems is available from the author: russwermers@gmail.com
Table of Contents
1. An Introduction to Asset Pricing Models2. Returns-Based Performance Evaluation Models3. Returns-Based Performance Measures4. Portfolio-Holdings Based Performance Evaluation5. Combining Portfolio-Holdings-Based and Returns-Based Performance Evaluation (and the "Return Gap")6. Performance Evaluation of Non-Normal Portfolios7. Fund Manager Selection Using Macroeconomic Information8. Multiple Fund Performance Evaluation: The False Discovery Rate Approach9. Active Management in Mostly Efficient Markets: A Survey of the Academic Literature10. Performance Evaluation of Professional Ratings Services11. Performance Evaluation of Target-Date Funds12. Qualitative Considerations in Performance Evaluation13. Exchange-Traded Funds
