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Performance Evaluation and Attribution of Security Portfolios (Anglais) Relié – 28 décembre 2012

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Descriptions du produit

Revue de presse

"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


Présentation de l'éditeur

Just how successful is that investment?  Measuring portfolio performance requires evaluation (measuring portfolio results against benchmarks) and attribution (determining individual results of the portfolio's parts),   In this book, a professor and an asset manager show readers how to use theories, applications, and real data to understand these tools. Unlike others, Fischer and Wermers teach readers how to pick the theories and applications that fit their specific needs.  With material inspired by the recent financial crisis, Fischer and Wermers bring new clarity to defining investment success. 

  • Gives readers the theories and the empirical tools to handle their own data
  • Features practice problems formerly from the CFA Program curriculum.

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3 internautes sur 3 ont trouvé ce commentaire utile 
"A unique book and must have" 22 janvier 2014
Par DES79 - Publié sur Amazon.com
Format: Relié
As the investment industry has seen a staggering growth in recent years, the area of investment performance measurement has become an area of significant research activities and increasing importance within investment firms. Although there are already quite a few books and numerous articles available in this area, the new book by Russell Wermers and Bernd Fischer is the first one to systematically present the actual status in theory and practice comprehensively and to combine the views of an academic (Russ Wermers, a Professor at the University of Maryland) and a practitioner (Bernd Fischer, Managing Director at IDS, a subsidiary of Allianz).

The book is subdivided into two distinct parts. The first one deals primarily with return-based performance measures and evaluation models. These sections are complemented by a survey of portfolio holding based performance evaluation and a combination of the two approaches. All these theories primarily try to answer the question of whether investment returns are the result of luck or skill. The seminal papers are discussed in detail in the course of the discussion, and the first part ends with an outlook on very recent research topics in these areas, such as the measurement of time-varying ability of a portfolio manager or the assessment of a proportion of funds that are truly skilled using only their net returns (areas in which Prof. Wermers made significant contributions).

Although there are very useful distinct sections on the calculation of various return measures and benchmarks, the main focus of the second part clearly lies on the theory of performance and risk attribution, an area which is of critical importance for the analysis of investment results within an investment firm and for client reporting. All major approaches (beginning with the seminal papers by Brinson et al.) are discussed in great detail. In fact, there is a separate chapter for every major asset class.

The other major topic of this part of the book is the Global Investment Performance Standards (GIPS®), which have become the major global standard for the presentation of performance results. Dr. Fischer (who was a member of the GIPS committee) provides an in-depth review of the various recommendations of the standards and describes the consequences for the investment firms.

In view of the different individual topics covered in this book, a detailed discussion of any of the sections is impossible in this review. Some aspects shall be highlighted though:

* The book covers nearly all aspects of performance measurement and attribution for the core asset classes, describing popular approaches applied in the practice but also less known measures and models both in terms of theoretical foundation and statistical intricacies. It, therefore, covers the whole range of complexity: from the most basic presentation of simple returns according to the Global Investment Performance Standards over the alternative methods to deal with interaction terms relevant within multi-period attribution analyses to the most sophisticated statistically complex approaches to identify manager skills on the basis of time series of returns.

* It covers areas that, despite their importance in practice, most books on performance measurement and attribution neglect such as the inclusion of derivatives, advanced methods to cater for the specifics of bond or balanced portfolios, as well as multi-asset class portfolios and hedge funds, the description of the less known portfolio holdings based performance evaluation or the treatment of non-normal returns to name but a few.

* All material is presented in a very graphic form with a plethora of illustrations and literally hundreds of explicit examples.

Only a few minor areas leave room for improvement.

Even though the book is the most comprehensive source for performance measurement and attribution known to the assessor, it entirely leaves out performance measures that are adjusted by different definitions of downside risk (Lower Partial Moments). This is not comprehensible since these performance measures have some attractive properties in specific circumstances.

A more detailed table of contents and an overall cate­gorization of the uncountable approaches described in both sections of the book would have added to the user-friendliness. It is to be noted that the bibliography is incomplete due to a mis­take made by the publishing company. However, a complete version is separately available (e.g., via [...]).

The book may serve for different purposes. One purpose is to serve as a text book for graduate courses. As the authors develop the topics with all the details starting from the very basics, most of the material is also accessible to students on an undergraduate level. The book should also be useful to those that try to pass a CFA exam. Some of the CFA problems and exercises were integrated into the material. Also, the book certainly addresses the needs of the practi­tioners, as it pays a great deal of attention to questions surrounding the implementation of the different approaches in practice. Lastly, it may serve as a reference book for virtually all aspects in the field of performance measurement.

In summary: this is a unique book and a must have for everybody seriously interested in these subject areas.

-Carsten Wittrock, Ph.D.
zeb/rolfes.schierenbeck.associates gmbh

This review was originally published in The Journal of Performance Measurement, vol. 18, issue 1
3 internautes sur 3 ont trouvé ce commentaire utile 
Very Highly Recommended! 8 avril 2013
Par Harry M - Publié sur Amazon.com
Format: Relié
I don't write reviews for any book but after reading this book cover to cover I thought I'd pen a review.

I have been in the investment management industry for 7 years and have read some great books which deal with some of the challenges we face in the industry when it comes to evaluating performance of securities - admittedly there are religious wars on methodologies, techniques etc., and I've gone head to head with risk and performance folks in my short career to make a point about accuracy and consistency when applying attribution methodologies to performance.

This book is clear, well written and easy to follow and I would highly recommend it to anyone who is looking to build a career in investment management, this is one dimension of the ex-post analysis that you want to get right and this book is the key to that dimension!
2 internautes sur 2 ont trouvé ce commentaire utile 
This is the best! I highly recommend you to read this book! 19 juillet 2013
Par hyeminKim - Publié sur Amazon.com
Format: Relié
In case of me, before I read this book, my mental was almost break down, since I did not find the methodologies that I can use for the institution and mutual fund performance evaluation. However, my problem was totally solved with this book. This book is super logically explained. This book introduce all of the methodology from CAPM to up-to-date knowledge performance evaluation of money managements. Hence, you can easily study the history of the performance evaluation methodology. Actually, this book contains everything which I want to know. Authors must have read the readers' mind! They exactly know what I want to know.

Also, this book introduce merits and demerits of all methodology very specifically. In other words, what are merits of this methodology and what are limitations of this methodology and to make up the limitation what will be the other methodologies that you can use. Hence, you can find methodologies according to your purpose. Moreover, this book introduce not only for the conceptual explanation but also practical example. That is to say, they also introduce specific example so that you can follow the same step with your own data. Also, in case of DGTW methodology, professor Wermers provides bench mark portfolio through this homepage, this data covers from 1975. This is also very helpful to study.
This book is not only for PhD student but also for the MBA students. Also, as this book was written so well, this is also the best book for your self-study.
2 internautes sur 2 ont trouvé ce commentaire utile 
Top recommendation for investment management 12 mai 2013
Par Alina Rosu - Publié sur Amazon.com
Format: Relié
The book is a very well written collection of up-to-date knowledge of the money management industry. The first part explains in detail the intuition in numerous seminal academic papers. A couple of funds are followed throughout and results are replicated for them which makes it clear and keeps the attention of the reader. Prof. Wermers not only reviews these articles, but he authored a few of them, so this is first hand analysis.
The second part is more geared towards practitioners and it contains mathematical tools for them.
The book is very logical, and while there are a few books on investment management out there, to my knowledge none offers such a comprehensive and well structured perspective as this one.
I am a PhD student in finance, and I also have an MBA, so I can see how the book is very interesting for academics and for practitioners alike. It is very readable and extremely insightful.
1 internautes sur 1 ont trouvé ce commentaire utile 
It's about time! 16 avril 2014
Par Bob Jones - Publié sur Amazon.com
Format: Relié
Performance evaluation and attribution are critical to understanding portfolio risks and manager skill. There has been a large body of academic literature on these topics, but until now, no accessible text book covering all of these critical issues in one place. Fischer and Wermers offer a lucid and comprehensive discussion of the various techniques researchers have developed to understand performance, identify it's sources, and assess manager skill (it helps that the authors were major contributors to the original research). They also point out areas of controversy and debate among experts in this field. The book is well organized, well written, comprehensive and a great reference on these topics.

This book is a must read for aspiring academics, research analysts, portfolio managers, allocators, and anyone who would like to better understand asset pricing, portfolio risk, sources of return, and how to identify superior asset managers (SAMs). Highly recommended.
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