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Portfolio Analysis

Advanced Topics in Performance Measurement, Risk and Attribution
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Portfolio Analysis
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Drawing upon the experience of leading global practitioners, this book updates the readers' knowledge and skills on advanced topics within performance measurement, risk, attribution and evaluation. It builds upon existing introductory texts and develops the readers skills to the level needed to practice performance measurement in the real and increasingly complex financial world. It provides robust solutions to the challenges faced by risk and performance professionals each day. It 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. It also includes critical insight into the latest models for performance measurement and attribution. It provides analysis of: Performance measurement, Performance evaluation, Portfolio risk, Performance attribution, Value at Risk (VaR), Managing tracking error, and GIPS[registered] verification. It covers the main areas of the marketplace, including: Alternative assets, Hedge funds, Commodity futures, Life-cycle funds, Book income-orientated investments, and Transition management.

Author Biography

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.
Release date NZ
April 3rd, 2006
Edited by Timothy P. Ryan
Country of Publication
United Kingdom
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Risk Books
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