Portfolio Analysis - Advanced Topics in Performance
Measurement, Risk and Attribution
Edited by Timothy P. Ryan
Contributors include: Carl Bacon, Andrew Colin & Laurence
Wormald
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.
The following chapters have been written by StatPro Directors:
- Data Management, Data Scrubbing,
Accuracy,
Errors and Residuals - Carl Bacon, Chairman
- Advanced Fixed Income Attribution -
Professor Andrew Colin, Fixed Income Research Director
- The Promise of VaR for Every Asset Manager
- Laurence Wormald, Former StatPro Risk Director
Access to the chapters contributed by StatPro is free, but you
will need to complete a short registration form.
Summary
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.
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