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

Related Articles:
Research Study Finds Bias Blocks Women in Science

January 17, 2013


Prev   Next

Current Headlines

UMD Leads New $25M NSF Quantum Leap Challenge Institute for Robust Quantum Simulation

UMD’s Tunnel-Boring Engineers Showcase Skills, Perseverance

Foundational Step Shows Quantum Computers Can Be Better Than the Sum of Their Parts

College Park-born Quantum Firm IonQ Goes Public

The State of Spanish in the DMV

UMD to Help Lead Nationwide Study of Early Childhood Brain Development, Impact of Early Adversity

Op/ed: ‘An Industry That Will Change the World’

New Study Shows Path to Uninterrupted Supply of Safe, Effective Drugs for US Consumers

News Resources

Return to Newsroom

Search News

Archived News

Events Resources

Events Calendar

Additional Resources

UM Newsdesk

Faculty Experts

Connect

social iconstwitterlinkedinrssYouTube
Division of Research
University of Maryland
College Park, MD 20742-1541
© Copyright 2021 University of Maryland

Did You Know

The University of Maryland is a member of the Association of American Universities, comprised of 61 leading research universities in the U.S. & Canada.