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Portfolio Analysis

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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

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.

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