Performance Evaluation: The Science of Multidimensional Risk Measurement, 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: The Science of Multidimensional Risk Measurement, Second Edition, combines academic rigor with practical applications and guidance for applications of diverse approaches.
- Adds four new chapters; every other chapter has been expanded and updated
- Presents new material for special types of funds (target-date funds, ETFs), addressing the needs of fund managers
- Examines advanced topics on financial evaluation such as derivatives and benchmarking
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
In 2009, Bernd Fischer was appointed to the position of Managing Director of IDS GmbH - Analysis and Reporting Services (a subsidiary of Allianz SE), one of the largest internationally operating providers of operational investment controlling services for institutional investors and asset managers. From 2000 to 2009, he was Global Head of Risk Controlling and Compliance in the central business segment Asset Management of Commerzbank AG and was also responsible for the operational Risk and Performance Controlling division of cominvest GmbH. Prior to this, he worked in the fields of Portfolio Analysis and Risk Controlling in the Asset Management division of Dresdner Bank. From 2000 to 2004, he was a member of the Investment Council of the CFA Institute. Dr. Fischer completed his degrees in Physics and Mathematics at the University of Cologne and was awarded his doctorate at the Florida Atlantic University (USA) in 1995.
Russ Wermers is an Associate Professor of Finance at the Smith School of Business, University of Maryland at College Park, where he won a campus-wide teaching award during 2005. His main research interests include studies of the efficiency of securities markets, as well as the role of institutional investors in setting stock prices. Most notably, his past research has developed new approaches to measuring and attributing the performance of mutual funds, pension funds, and hedge funds, as well as devising winning strategies for investing in these funds. Professor Wermers received his Ph.D. from the University of California, Los Angeles, in 1995.