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Performance Evaluation and Attribution of Security Portfolios by Russ Wermers, Bernd R. Fischer

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Chapter 14

Analysis of Multi-Asset Class Portfolios and Hedge Funds

Abstract

In this chapter the traditional Brinson approach to attribution analysis will be extended to funds invested in several asset classes. Furthermore, approaches will be sketched for the incorporation of the risk dimension into the attribution analysis. Finally certain aspects surrounding the analysis of hedge funds will be introduced. Several new risk and performance measures will be critically discussed in this context.

14.1 Basic Considerations

So far only portfolios with one category of securities (stocks or bonds) have been considered (if one disregards here the cash segment, which was occasionally included in the considerations). In reality, many portfolios invest in ...

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