Performance Evaluation and Attribution Volume One

Asset Pricing and Models

Russ Wermers, Brian Singer, Bernd R. Fischer

• Publisher: Academic Press
• Year: 2026
• Edition: 2
• eBook ISBN:
  9780128182987
• Topic: Business
• Subtopic: Investments & Securities
• Index: Business

This Second Edition of Performance Evaluation and Attribution Volume One: Asset Pricing and Models, presents an updated, comprehensive exploration of portfolio performance evaluation. Based on the authors' Performance Evaluation and Attribution of Security Portfolios (2012), this volume of the 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, new examples, and new work on qualitative considerations that can be used in identifying skilled fund managers. This highly detailed new edition combines academic rigor with insights and guidance for real-world applications of diverse approaches to identifying skilled professional portfolio managers - Adds four new chapters; every other chapter has been expanded and updated - Adds detailed derivations of the mathematics of mean-variance asset pricing, making the book suitable for an investments course at the Ph.D., Master's, and (advanced) undergraduate levels - Presents new material for target date funds as well as a comprehensive survey of fund ratings services - A solutions manual for all chapter-end problems is available from the author: [email protected]

Table of contents

• Title of Book
• Chapter 1 An introduction to asset pricing models
• Chapter 2 An introduction to returns-based performance evaluation and potential biases in its econometric application
• 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 Fund manager selection using macroeconomic information
• Chapter 7 Performance evaluation of market timers: a new approach
• Chapter 8 Performance evaluation of non-normal portfolios
• Chapter 9 Multiple fund performance evaluation: the false discovery rate approach
• Chapter 10 Holding Horizon: a new measure of active investment management
• Chapter 11 Target date funds: an analysis of strategies and performance
• Chapter 12 Fund rating systems
• Chapter 13 Active management in mostly efficient markets: a survey of the academic literature
• Index