Gain an Insight into the Latest Models for Performance Measurement and Attribution.DUBLIN Dublin, city, Republic of Ireland Dublin, Irish Baile Átha Cliath, county borough (1991 pop. 915,516), Leinster, capital of the Republic of Ireland, on Dublin Bay at the mouth of the Liffey River. , Ireland Ireland, Irish Eire (âr`ə) [to it are related the poetic Erin and perhaps the Latin Hibernia], island, 32,598 sq mi (84,429 sq km), second largest of the British Isles. -- Research and Markets (http://www.researchandmarkets.com/reports/c37897) has announced the addition of Portfolio Analysis: Advanced Topics in Performance Measurement, Risk and Attribution at·tri·bu·tion n. 1. The act of attributing, especially the act of establishing a particular person as the creator of a work of art. 2. to their offering. 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 Ex-Post Another term for actual returns. Notes: Ex-post translated from Latin means "after the fact." Companies may try to obtain ex-post data to forecast future earnings. See also: Actual Return, Ex-Ante performance measurement and ex-ante Ex-Ante A term that refers to future events, such as future returns or prospects of a company. Using ex-ante analysis helps to give an idea of future movements in price or the future impact of a newly implemented policy. 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 Performance evaluation The assessment of a manager's results, which involves, first, determining whether the money manager added value by outperforming the established benchmark (performance measurement) and, second, determining how the money manager achieved the calculated return - Portfolio risk - Performance attribution - Value at Risk (VaR Var, department (1990 pop. 828,300), SE France, in Provence. Draguignan is the capital. (Value Added Reseller) An organization that adds value to a system and resells it. ) - Managing tracking error, and - GIPS GIPS - /gips/ or /jips/ [Analogy with MIPS] Giga-Instructions per Second (or possibly "Gillions of Instructions per Second"; see gillion). In 1991, this was used of only a handful of highly parallel machines and one sequential processor built with Josephson devices. (R) verification Covers the most important areas of the marketplace, including: - Alternative assets Alternative Assets A term referring to non-traditional assets with potential economic value. Notes: Examples of alternative assets include art and antiques, precious metals, fine wines, rare stamps and coins, and other collectibles such as sports cards. - Hedge funds hedge fund, in finance, a highly speculative, largely unregulated investment device. Originating in the 1950s, the funds "hedge" by offsetting "short" positions (borrowing a security and then selling it at a higher price before repaying the lender) against "long" - Commodity futures - Life-cycle funds life-cycle fund A mutual fund that maintains a certain mix of stocks and bonds in order to attract investors of a given age and risk preference. Mutual fund families sometimes offer several different life-cycle funds with various asset allocations so as to - 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. Topics Covered 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 For more information visit http://www.researchandmarkets.com/reports/c37897 |
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