UMD Expert Recognized in Movement to Improve Capital Markets

UMD Expert Recognized in Movement to Improve Capital Markets

Russ Wermers, associate professor of finance in the University of Maryland’s Robert H. Smith School of Business, has garnered international recognition for his recent work toward restoring integrity to capital markets.

Recently tapped to help rewrite the global accreditation criteria for evaluating investment performance, Wermers earned first place in the Investment Management Consultants Association’s 2012 Journal of Investment Consulting Academic Paper Competition for his research yielding a formula to minimize risk and maximize return on investments. The findings, in Monitoring Daily Hedge Fund Performance When Only Monthly Data is Available, address the time lag that has plagued investors seeking to monitor their hedge funds on a daily basis.

Based on using monthly, low-frequency models to forecast daily, high-frequency hedge fund returns, Wermers' solution is “a useful process for accurately forecasting daily returns of hedge funds, which helps advisors and investors to better weigh the risk and value within their portfolios,” according to the Investment Management Consultants Association.

Forthcoming in the journal, Wermers' study follows "Performance Evaluation and Attribution of Investment Managers," his textbook detailing the latest, most optimal methods for judging both active and passive managers of mutual fund and hedge funds. Published in 2012, the work prompted the 70,000-member Chartered Financial Analyst (CFA) Institute to recruit Wermers to help devise the curriculum for a new Certificate in Investment Performance Measurement – the industry’s international accreditation for investment performance analysis.

Vojislav (Max) Maksimovic, the Dean's Chair Professor of Finance and chair of Smith’s finance department, says the recent developments affirm Wermers – who earned a university-wide teaching award in 2005 – "as both a research leader in the field of global investment management and invaluable resource to Smith finance students for cutting-edge insight to capital markets."

For more information, visit: http://www.umdrightnow.umd.edu/news/umd-expert-recognized-movement-improve-capital-markets

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Sergey Brin, co-founder of Google, is an alumnus of UMD's College of Computer, Mathematical, and Natural Sciences.