Performance Attribution Volume 2
Analysis and Reporting
- 2nd Edition - December 1, 2025
- Latest edition
- Authors: Brian Singer, Russ Wermers, Bernd R. Fischer
- Language: English
- Paperback ISBN:9 7 8 - 0 - 1 2 - 8 1 8 3 0 1 - 4
- eBook ISBN:9 7 8 - 0 - 1 2 - 8 1 8 3 0 2 - 1
Performance Attribution Volume 2: Analysis and Reporting, Second Edition explains the practical aspects of building or interpreting a top-to-bottom performance attribution system… Read more
Performance Attribution Volume 2: Analysis and Reporting, Second Edition explains the practical aspects of building or interpreting a top-to-bottom performance attribution system applicable to many asset classes. 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), its concentration on the ethical standards embodied by GIPS includes a summary of provisions for the presentation of risk in a firm’s investments.
- Features new changes to Global Investment Performance Standards (GIPS)
- Expands and updates all chapters, including new sections on the return calculation of derivatives
- Embodies a practical point-of-view and clear division of chapters
Upper-division undergraduates, graduate students, and professionals worldwide working in the management of diverse types of financial funds
1. Basic Performance Evaluation Models
2. Indices and the Construction of Benchmarks
3. Attribution Analysis for Equity Portfolios According to the Brinson Approach
4. Attribution Analysis for Fixed Income Portfolios
5. Analysis of Multi-Asset Class Portfolios and Hedge Funds
6. Attribution Analysis with Derivatives
7. Global Investment Performance Standards (GIPS)
8. Return Calculation for Derivatives
2. Indices and the Construction of Benchmarks
3. Attribution Analysis for Equity Portfolios According to the Brinson Approach
4. Attribution Analysis for Fixed Income Portfolios
5. Analysis of Multi-Asset Class Portfolios and Hedge Funds
6. Attribution Analysis with Derivatives
7. Global Investment Performance Standards (GIPS)
8. Return Calculation for Derivatives
- Edition: 2
- Latest edition
- Published: December 1, 2025
- Language: English
BS
Brian Singer
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.
Affiliations and expertise
Brian Singer, CFA, is the co-CEO of Wealth Horizons IncRW
Russ Wermers
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.
Affiliations and expertise
Associate Professor of Finance, Smith School of Business, University of Maryland, USABF
Bernd R. Fischer
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.
Affiliations and expertise
Managing Director of IDS GmbH, Analysis and Reporting Services (a subsidiary of Allianz SE), Frankfurt, Germany