Performance Evaluation and Attribution Volume Two

Analysis and Reporting

Häftad, Engelska, 2026

AvBrian Singer,Russ Wermers,Bernd R. Fischer

1 679 kr

Beställningsvara. Skickas inom 10-15 vardagar. Fri frakt för medlemmar vid köp för minst 249 kr.

This Second Edition of Performance Evaluation and Attribution Volume Two: Analysis and Reporting explains the practical aspects of building or interpreting a top-to-bottom performance attribution system applicable to many asset classes, providing a toolkit of attribution techniques for analyzing the performance of portfolio managers. Requiring a familiarity with the principal concepts of portfolio analysis, it features standard methodologies and alternative approaches to the attribution of diverse assets, including derivatives, fixed income, and hedge funds. Based on the authors’ Performance Evaluation and Attribution of Security Portfolios (2012), this volume‘s concentration on the ethical standards embodied by GIPS includes a summary of provisions for the presentation of risk in a firm’s investments.

. Features new changes to Global Investment Performance Standards (GIPS)
. Expands and updates all chapters, including new sections on the return calculation of derivatives
. Embodies a practical point of view and clear division of chapters

Produktinformation

Utgivningsdatum2026-03-13
Mått191 x 235 x 22 mm
Vikt450 g
FormatHäftad
SpråkEngelska
Antal sidor430
Upplaga2
FörlagElsevier Science
ISBN9780128183014

Tillhör följande kategorier

Finansiering inom Ekonomi och Ledarskap
Privatekonomi inom Ekonomi och Ledarskap
Redovisning inom Ekonomi och Ledarskap
Mikroekonomi inom Ekonomi och Ledarskap

Brian Singer, CFA, is the co-CEO of Wealth Horizons Inc., a private wealth firm founded by seasoned investment professionals. With over four decades of global macro investment experience, he has served on multiple for-profit and not-for-profit boards and previously chaired the Board of Governors of the CFA Institute, the Research Foundation of the CFA Institute, and the CFA Institute Curriculum Committee. A published author of books, monographs, and articles, Brian has contributed to leading finance journals and is recognized for helping define the practice of macro investing — particularly in the areas of currency management, performance attribution, and risk management. He is a steadfast advocate for free-market solutions to society’s most complex challenges.He has a lovely wife, Linda, and two wonderful adult children, Margo and Andy.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.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.

CHAPTER 1 Basic performance evaluation modelsCHAPTER 2 Passive and active portfolio managementand the characteristics of benchmarksCHAPTER 3 Attribution analysis for equity portfoliosCHAPTER 4 Introduction to multicurrency performanceattributionCHAPTER 5 Attribution analysis for fixed incomeportfoliosCHAPTER 6 Analysis of multiasset class portfolios andhedge fundsCHAPTER 7 Attribution analysis with derivativesCHAPTER 8 Global Investment Performance Standards (GIPS)David D. SpauldingAppendix A: Calculating estimated transaction costsonAppendix B: Shortcomings of The aggregate method forcomposite returnsAppendix C: What is meant by time-weighting?Appendix D: How to create carve-outs?