Performance Evaluation and Attribution of Security Portfolios

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.

Chapter 1 – An Introduction to Asset Pricing Models


Chapter 2 - Returns-Based Performance Evaluation Models


Chapter 3 - Returns-Based Performance Measures


Chapter 4 - Portfolio-Holdings Based Performance Evaluation


Chapter 5 - Combining Portfolio-Holdings-Based and Returns-Based Performance Evaluation (and the "Return Gap")


Chapter 6 - Performance Evaluation of Non-Normal Portfolios


Chapter 7 - Fund Manager Selection Using Macroeconomic Information


Chapter 8 - Multiple Fund Performance Evaluation: The False Discovery Rate Approach


Chapter 9 - Active Management in Mostly Efficient Markets: A Survey of the Academic Literature


Chapter 10 - Basic Performance Evaluation Models


Chapter 11 - Indices and the Construction of Benchmarks


Chapter 12 - Attribution Analysis for Equity Portfolios According to the Brinson Approach


Chapter 13 - Attribution Analysis for Fixed Income Portfolios


Chapter 14 - Analysis of Multi-Asset Class Portfolios and Hedge Funds


Chapter 15 - Attribution Analysis with Derivatives


Chapter 16 - Global Investment Performance Standards (GIPS)