Portfolio Analysis

Book description

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.

Book details

ISBN

9781904339823

Publish date

1 Mar 2006

Format

Size

155mm x 235mm

Editor biography

Timothy P. Ryan

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.

Table of contents

Editor’s Note

1 Introduction

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