Portfolio Analysis: Advanced topics in performance measurement, risk and attribution
Encyclopedia
Portfolio Analysis: Advanced topics in performance measurement, risk and attribution (Risk Books, 2006. ISBN 1904339824) is an industry text written by a comprehensive selection of industry experts and edited by Timothy P. Ryan. It includes chapters from practitioners and industry authors who investigate topics under the wide umbrella of performance measurement
, attribution and risk management
, drawing on their own experience of the fields.
The book also boasts a first in its area in that it brings together previously separated topics and practitioners or ex-post performance measurement and ex-ante performance risk measurement. It is also the first book to explain the role of the Transition Manager.
The book includes coverage and discussion of performance measurement, performance evaluation, portfolio risk, performance attribution, Value-at-Risk (VaR)
, managing tracking error
and GIPS verification.
It is also said to cover the following developing areas of the marketplace:
Performance Measurement
Performance measurement with a process is the complement to process execution. Based on measured performance, the feedback control loop may be closed. The metrics to assess performance is set according to a determined econometric model...
, attribution and risk management
Risk management
Risk management is the identification, assessment, and prioritization of risks followed by coordinated and economical application of resources to minimize, monitor, and control the probability and/or impact of unfortunate events or to maximize the realization of opportunities...
, drawing on their own experience of the fields.
The book also boasts a first in its area in that it brings together previously separated topics and practitioners or ex-post performance measurement and ex-ante performance risk measurement. It is also the first book to explain the role of the Transition Manager.
The book includes coverage and discussion of performance measurement, performance evaluation, portfolio risk, performance attribution, Value-at-Risk (VaR)
Value at risk
In financial mathematics and financial risk management, Value at Risk is a widely used risk measure of the risk of loss on a specific portfolio of financial assets...
, managing tracking error
Tracking error
In finance, tracking error is a measure of how closely a portfolio follows the index to which it is benchmarked. The most common measure is the root-mean-square of the difference between the portfolio and index returns....
and GIPS verification.
It is also said to cover the following developing areas of the marketplace:
- Alternative assets
- Hedge funds
- Commodity futures
- Life-cycle funds
- Book income-orientated investments
- Transition management
Full Alphabetical List of Contributors
To see a list of the chapters contributed by the following co-authors and an Editor Biography, see the Risk Books product page.- Carl BaconCarl BaconCarl Bacon , is a founding member of GIPS, having forged a successful career in the asset management industry. He was Vice President Head of Performance at JP Morgan Investment Management Inc. , he worked at F&C Investment Management Ltd...
- Curt Burmeister
- James G. Cashman
- Dr Andrew Colin
- Dan diBartolomeo
- Bruce J. Feibel
- Barry Feldman
- Andrew Scott Bay Frongello
- Philip H. Galdi
- Mark A. Keleher
- Robert Kuberek
- Peter Matheos
- Helmut Mausser
- Krishna PrasadKrishna PrasadKrishna Prasad ,was a Fijian politician of Indian descent, who held the Nadi Open Constituency in the House of Representatives for the Fiji Labour Party in the parliamentary election of 2001...
- Ronald J. Surz
- Hilary Till
- Karyn D. Vincent
- Susan E. Woodward
- Laurence Wormald