Performance Evaluation, 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, 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 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
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.
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 societys most complex challenges.
He has a lovely wife, Linda, and two wonderful adult children, Margo and Andy.
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.
