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Portfolio Analysis: Advanced Topics in Performance Measurement, Risk and Attribution
Incisive Media, March 2006, Pages: 378
Drawing upon the experience of key global practitioners and leading industry authors, Portfolio Analysis quickly updates your knowledge and skills on advanced topics within performance measurement, risk, attribution and evaluation.
Expands on existing and dated introductory texts and fast-tracks your skills to the level needed to practice performance measurement in the real and increasingly complex world.
Provides robust solutions to the challenges faced by risk and performance professionals each day.
Bridges the gap between ex-post performance measurement and ex-ante performance risk measurement. Previously, these topics and practitioners have been kept separate, even though they serve the same audience. In this volume, they are brought together in a book that is crucial to both parties.
Includes critical insight into the very latest models for performance measurement and attribution.
Provides lucid analysis of:
- Performance measurement
- Performance evaluation
- Portfolio risk
- Performance attribution
- Value at Risk (VaR)
- Managing tracking error, and
- GIPS® verification
Covers the most important areas of the marketplace, including:
- Alternative assets
- Hedge funds
- Commodity futures
- Life-cycle funds
- Book income-orientated investments
- Transition management
Presents a multi-author view from the leading global experts in the field – collectively presenting over two and a quarter centuries of performance and risk experience.
The first book to explain the role of the Transition Manager.
About the Author
Timothy P. Ryan is a Vice President and Head of Performance Measurement at Hartford Investment Management Company. In this role, he leads a team and is responsible for AIMR/CFA Institute PPS & GIPS compliance, return calculation, composite maintenance, and performance attribution support for this US$100 Billion plus asset manager. Previously, Timothy spent seven plus years at Fidelity Management and Research Co. in Boston, culminating in the role of Director of Attribution Analysis, following stints as Manager of Attribution Analysis and Fixed Income Performance Attribution Analyst. Prior to this, he was a Senior Analyst at Putnam Investments’ Performance & Analytics Department, and a Fund Analyst at John Hancock Advisors, after beginning his career as a Fund Accountant at State Street Bank and Trust. Timothy holds a BSBA cum laude from Suffolk University and earned entry into the Golden Key Honor Society during his MBA studies at Babson College. He is a member of the Advisory Board for the Journal of Performance Measurement, which to date has published five of his articles (two of which were abstracted in the CFA Digest) and co-awarded him the Top Reviewer Award in 2002, 2003, 2004 and 2005. Timothy is the 2004 recipient of the Dietz Award for Performance Measurement Literature and has presented at many conferences.
- Carl Bacon, StatPro Group plc
- Curt Burmeister, Algorithmics Inc.
- James Cashman, CFA, FRM, Mellon Transition Management Services
- Andrew Colin, PhD, Statpro Australia and Queensland University of Technology
- Dan diBartolomeo, Northfield Information Services, Inc.
- Bruce J. Feibel, CFA, Eagle Investment Systems
- Barry Feldman, PhD, CFA Prism Analytics and DePaul University
- Andrew Scott Bay Frongello, CFA, MIT Sloan School of Business
- Phil H. Galdi, CPA, Merrill Lynch
- Mark A. Keleher, CFA, Mellon Transition Management Services
- Robert Kuberek, Wilshire Associates Inc.
- Peter Matheos, PHD, Wilshire Associates Inc.
- Helmut Mausser, PHD, Algorithmics Inc.
- Rafael Mendoza, Northwestern University
- Krishna Prasad, Fidelity Management and Research Company
- Timothy P. Ryan, Hartford Investment Management Company
- Ronald J. Surz, CIMA, PPCA, Inc. and RCG LLP
- Hilary Till; Premia Capital Management, LLC
- Karyn D. Vincent, CFA, Vincent Performance Services LLC, Susan Woodward, PhD, Sand Hill Econometrics
- Laurence Wormald, Statpro.
Timothy P. Ryan, Hartford Investment Management Company
SECTION 1. PERFORMANCE MEASUREMENT
2 GIPS Verification
Karyn D. Vincent, CFA, Vincent Performance Services, LLC
3 Requirements of a Performance Measurement System
Bruce J. Feibel, CFA, Eagle Investment Systems
4 Data Management, Data Scrubbing, Accuracy, Errors and Residuals
Carl Bacon, Statpro
5 Transition Managers: Role and Use of Risk and Performance Measurement
Mark Keleher, CFA, and Jamie Cashman, CFA, FRM, Mellon Transition Management Services
6 Performance Measurement for Insurers and Other Book Income-Orientated Investors
Philip H. Galdi, CPA, Merrill Lynch
SECTION 2. PERFORMANCE EVALUATION
7 Investment Manager Performance Evaluation, Issues Old and New
Ron Surz, CIMA, PPCA, Inc. and RCG LLP
8 Using Proportional Marginal Variance Decomposition to Understand Hedge Fund Performance Drivers
Barry Feldman, PhD, CFA, Prism Analytics and DePaul University
SECTION 3. PORTFOLIO RISK
9 Life-cycle Funds: Portfolio Construction Rebalancing and Performance and Risk Measurement
Dan DiBartolomeo, Northfield Information Systems
10 Measuring Risk and Performance for Alternative Assets
Susan Woodward, PhD, Sand Hill Econometrics
11 The Promise of VaR for every Asset Manager
Laurence Wormald, StatPro
12 Portfolio Risk Measurement and Portfolio Construction in Commodity Futures Investments
Hilary Till, Premia Capital Management, LLC
13 Techniques for Managing Tracking Error
Curt Burmeister and Helmut Mausser PhD, Algorithmics, Inc. and Rafael Mendoza, Northwestern University
14 Taming the Beast: Controlling Risk Underestimation in Covariance Models
Robert Kuberek and Peter Matheos, PhD, Wilshire Associates Inc.
SECTION 4. PERFORMANCE ATTRIBUTION
15 Advanced Fixed Income Attribution
Andrew Colin, PhD, Statpro Australia and Queensland University of Technology
16 Annualized Attribution
Krishna Prasad, Fidelity Management and Research Company
17 Linking of Attribution Results
Andrew Scott Bay Frongello, CFA, MIT Sloan School of Business