Performance Evaluation and Attribution of Security Portfolios

Preface

This book is intended to be the scientific state-of-the-art in performance evaluation—the measurement of manager skills—and performance attribution—the measurement of all of the sources of manager returns, including skill-based. We have attempted to include the best and most promising scientific approaches to these topics, drawn from a voluminous and quickly expanding literature.

Our objective in this book is to distill hundreds of both classic and the best cuttingedge academic and practitioner research papers into a unified framework. Our goal is to present the most important concepts in the literature in order to provide a directed study and/or authoritative reference that saves time for the practitioner or academic researcher. Sufficient ...