Performance Evaluation and Attribution of Security Portfolios

Bernd Fischer has occupied various high profile positions including 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; 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. Between 2000 and 2004, he was a member of the CFA Institute's Investment Council. Since 2020, he has worked as an independent writer, covering political, cultural and economic topics for renowned German journals and blogs.Russ Wermers is the Paul J. Cinquegrana '63 Endowed Chair in Finance and Director of the Center for Financial Policy (CFP) University of Maryland at College Park. His research, published in leading scholarly journals, has developed new approaches to measuring and attributing the performance of mutual funds, pension funds, and private equity funds, which, among other applications, can be used to identify superior active funds. Professor Wermers consults for the asset management industry. He received his Ph.D. from the University of California, Los Angeles, in December 1995.

"In the current environment of dwindling excess returns (alpha), Bernd R. Fischer and Russ Wermers give readers the necessary tools to tackle and overcome the challenges of adding value through the efforts of active managers. This well-detailed volume establishes an excellent framework for manager evaluation and selection by delving into portfolios and analyzing them with meticulous methodologies. At the same time, the authors highlight pitfalls and traps to avoid....In summary, Fischer and Wermers evaluate several methodologies and studies and provide appropriate criticisms. They use real-life examples in their analyses of the practicality of the various approaches.  The exhaustiveness of their efforts makes this volume a comprehensive one-stop shop for fund manager evaluation and portfolio analytics. Highly recommended for professionals who evaluate portfolio managers (e.g., wealth managers, advisers, fund allocators), Performance Evaluation and Attribution of Security Portfolios blends traditional concepts of portfolio evaluation with the latest academic findings. Unlike books that are either concerned exclusively with nuts-and-bolts issues or unduly theoretical, it provides an optimal balance for the benefit of both practitioners and academicians." -- Kishor Bagri, CFA, The CFA Institute Enterprising Investor blog"Performance Evaluation and Attribution of Security Portfolios is compulsory reading for anyone who has professional responsibilities that involves performance measurement. Fortunately for these readers the authors are writers with gifts rarely found in textbooks." --Jack L. Treynor, President of Treynor Capital Management"This excellent book covers everything a practitioner needs to know to construct a comprehensive system for analyzing investment performance." -- Journal of Investment Management, Fourth Quarter 2014"…the new book…is the first one to present the actual status in theory and practice comprehensively and to combine the views of an academic…and a practitioner…this is a unique book and a must have for everybody seriously interested in these subject areas."--The Journal of Performance Management, Fall 2013"The authors provide an excellent comprehensive treatment, running from widely used traditional measures all the way to methods pushing the knowledge frontier, complemented with practical information such as global reporting standards. As such, this book is a valuable resource for anyone facing the important challenge of evaluating the performance of investment managers." --Robert F. Stambaugh, The Wharton School of the University of Pennsylvania"Wermers and Fischer provide a timely review of a rapidly developing subject, pitched at roughly the advanced MBA level. It is particularly strong and useful in its coverage of holdings-based performance measurement. This is where the field is going, making the book a must-read." --Wayne Ferson, University of Southern California"An excellent in-depth review of state-of-the-art approaches to performance evaluation and attribution. A worthwhile read for both academics and practitioners." --Lubos Pastor, University of Chicago

• Chapter 1 – An Introduction to Asset Pricing ModelsChapter 2 - Returns-Based Performance Evaluation ModelsChapter 3 - Returns-Based Performance MeasuresChapter 4 - Portfolio-Holdings Based Performance EvaluationChapter 5 - Combining Portfolio-Holdings-Based and Returns-Based Performance Evaluation (and the "Return Gap")Chapter 6 - Performance Evaluation of Non-Normal PortfoliosChapter 7 - Fund Manager Selection Using Macroeconomic InformationChapter 8 - Multiple Fund Performance Evaluation: The False Discovery Rate ApproachChapter 9 - Active Management in Mostly Efficient Markets: A Survey of the Academic LiteratureChapter 10 - Basic Performance Evaluation ModelsChapter 11 - Indices and the Construction of BenchmarksChapter 12 - Attribution Analysis for Equity Portfolios According to the Brinson ApproachChapter 13 - Attribution Analysis for Fixed Income PortfoliosChapter 14 - Analysis of Multi-Asset Class Portfolios and Hedge FundsChapter 15 - Attribution Analysis with DerivativesChapter 16 - Global Investment Performance Standards (GIPS)