Autorentext

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.

Klappentext

This Second Edition of Performance Attribution and Evaluation 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.

Inhalt

CHAPTER 1 Basic performance evaluation models
CHAPTER 2 Passive and active portfolio management
and the characteristics of benchmarks
CHAPTER 3 Attribution analysis for equity portfolios
CHAPTER 4 Introduction to multicurrency performance
attribution
CHAPTER 5 Attribution analysis for fixed income
portfolios
CHAPTER 6 Analysis of multiasset class portfolios and
hedge funds
CHAPTER 7 Attribution analysis with derivatives
CHAPTER 8 Global Investment Performance Standards (GIPS)
David D. Spaulding
Appendix A: Calculating estimated transaction costs
on
Appendix B: Shortcomings of The aggregate method for
composite returns
Appendix C: What is meant by time-weighting?
Appendix D: How to create carve-outs?