Fixed Income Attribution

Author : Andrew Colin
Publisher : John Wiley & Sons
ISBN 13 : 0470013583
Total Pages : 162 pages
Book Rating : 4.88/5 ( download)

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Download or read book Fixed Income Attribution written by Andrew Colin and published by John Wiley & Sons. This book was released on 2005-05-05 with total page 162 pages. Available in PDF, EPUB and Kindle. Book excerpt: Fixed income attribution is by its very nature a complex and mathematically demanding topic, and there is little information available on this area. Fixed Income Attribution has been written to fill this tremendous void. This comprehensive resource contains both theoretical and practical information about running and understanding fixed income attribution, including the mathematics of attribution, practical limitations, benchmarks, presentation tools, and choosing and running an attribution system. Filled with insightful examples and expert advice, Fixed Income Attribution is the perfect source of information for those working in this complex environment.

Author : Carl R. Bacon
Publisher : CFA Institute Research Foundation
ISBN 13 : 1944960902
Total Pages : 68 pages
Book Rating : 4.02/5 ( download)

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Download or read book Performance Attribution: History and Progress written by Carl R. Bacon and published by CFA Institute Research Foundation. This book was released on 2019-12-23 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt: The objective of performance attribution is to explain portfolio performance relative to a benchmark, identify the sources of excess return, and relate those sources to active decisions by the portfolio manager. This review charts the development of attribution from its beginning with Fama decomposition in the 1970s, through its foundations in the 1980s, into its issues of multiperiod and multicurrency attribution in the 1990s, and ending on its more detailed models for fixed-income and risk-adjusted attribution in recent years. Types of attribution (including returns based, holdings based, and transaction based) are also discussed as is money-weighted attribution and developments associated with notional funds.

Author : Andrew Colin
Publisher : Pearson UK
ISBN 13 : 1292114053
Total Pages : 266 pages
Book Rating : 4.57/5 ( download)

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Download or read book Mastering Attribution in Finance written by Andrew Colin and published by Pearson UK. This book was released on 2016-02-01 with total page 266 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mastering Attribution in Finance is a comprehensive guide to how attribution is used in equity and fixed income markets. As with all Mastering titles, this book is written by an expert in the field. The book: Presents a structure overview of attribution in finance Provides a complete mathematical toolkit, including all the necessary formulae Covers all the key models, such as The Campisi model, Duration attribution, the Tim Lord model, key rate attribution, top-down attribution, Karnosky-Singer attribution model, Parametric and non-parametric yield curve models, Brinson attribution Includes tricks and techniques for trading specific types of fixed income security The full text downloaded to your computer With eBooks you can: search for key concepts, words and phrases make highlights and notes as you study share your notes with friends eBooks are downloaded to your computer and accessible either offline through the Bookshelf (available as a free download), available online and also via the iPad and Android apps. Upon purchase, you'll gain instant access to this eBook. Time limit The eBooks products do not have an expiry date. You will continue to access your digital ebook products whilst you have your Bookshelf installed.

Author : David Spaulding
Publisher : McGraw Hill Professional
ISBN 13 : 9780071408851
Total Pages : 280 pages
Book Rating : 4.51/5 ( download)

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Download or read book Investment Performance Attribution written by David Spaulding and published by McGraw Hill Professional. This book was released on 2003 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investment Performance Attribution involves identifying and quantifying those activities that increase investment return above a given benchmark--and is the hottest topic in institutional investing today. Investment Performance Attribution is the first book to provide clear and in-depth coverage of how and when to use the varying forms of attribution. It makes necessarily high-level attribution mathematics accessible, and will become an essential reference for professional money managers and institutional investors.

Author : Jozef Puchon
Publisher : Diplomica Verlag
ISBN 13 : 3836651238
Total Pages : 81 pages
Book Rating : 4.33/5 ( download)

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Download or read book Fixed Income Performance Attribution written by Jozef Puchon and published by Diplomica Verlag. This book was released on 2009-04 with total page 81 pages. Available in PDF, EPUB and Kindle. Book excerpt: Der Begriff Performance-Attribution umschreibt grunds tzlich den Prozess der Zerlegung der Rendite und des Risikos eines Anlageportfolios in die einzelnen Anlageentscheidungs-Komponenten zwecks Analyse des Mehrwertes des aktiven Portfolio Managements und der Risiko-Komponenten der Anlagestrategie. Die Performance-Attributions-Analyse ist zu einem wertvollen Instrument f r die Beurteilung der Leistung der Investment Manager und des Anlageentscheidungsprozesses sowie f r die Verbesserung des Dialoges zwischen Kunden und Investment Managern geworden. Der Wert der Performance-Attribution liegt nicht nur in der verbesserten Transparenz, sondern auch in Konkretisierung der Diskussionen ber die absolute und relative Performance. Solche Analysen bieten dem Betrachter eine transparente Basis, um die getroffenen Investitionsentscheidungen zu beurteilen und eventuelle Folgema nahmen bez glich des Anlageprozesses einzuleiten. Im Rahmen meiner Arbeit besch ftige ich mich nicht mit den ganzen Performance-Attribution-Analysen, sondern nur mit dem Spezialbereich Fixed-Income-Attribution.

Author : Carl R. Bacon
Publisher : John Wiley & Sons
ISBN 13 : 1119995477
Total Pages : 488 pages
Book Rating : 4.70/5 ( download)

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Download or read book Practical Portfolio Performance Measurement and Attribution written by Carl R. Bacon and published by John Wiley & Sons. This book was released on 2011-02-23 with total page 488 pages. Available in PDF, EPUB and Kindle. Book excerpt: Performance measurement and attribution are key tools in informing investment decisions and strategies. Performance measurement is the quality control of the investment decision process, enabling money managers to calculate return, understand the behaviour of a portfolio of assets, communicate with clients and determine how performance can be improved. Focusing on the practical use and calculation of performance returns rather than the academic background, Practical Portfolio Performance Measurement and Attribution provides a clear guide to the role and implications of these methods in today's financial environment, enabling readers to apply their knowledge with immediate effect. Fully updated from the first edition, this book covers key new developments such as fixed income attribution, attribution of derivative instruments and alternative investment strategies, leverage and short positions, risk-adjusted performance measures for hedge funds plus updates on presentation standards. The book covers the mathematical aspects of the topic in an accessible and practical way, making this book an essential reference for anyone involved in asset management.

Author : Stephen Campisi
Publisher :
ISBN 13 : 9781893813199
Total Pages : 300 pages
Book Rating : 4.93/5 ( download)

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Download or read book Readings in Fixed Income Attribution written by Stephen Campisi and published by . This book was released on 2007 with total page 300 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Author : David Jamieson Bolder
Publisher : Springer
ISBN 13 : 3319126679
Total Pages : 559 pages
Book Rating : 4.78/5 ( download)

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Download or read book Fixed-Income Portfolio Analytics written by David Jamieson Bolder and published by Springer. This book was released on 2015-02-02 with total page 559 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book offers a detailed, robust, and consistent framework for the joint consideration of portfolio exposure, risk, and performance across a wide range of underlying fixed-income instruments and risk factors. Through extensive use of practical examples, the author also highlights the necessary technical tools and the common pitfalls that arise when working in this area. Finally, the book discusses tools for testing the reasonableness of the key analytics to help build and maintain confidence for using these techniques in day-to-day decision making. This will be of keen interest to risk managers, analysts and asset managers responsible for fixed-income portfolios.

Author : Emlyn James Flint
Publisher :
ISBN 13 :
Total Pages : 24 pages
Book Rating : 4.69/5 ( download)

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Download or read book The Fundamentals of Fixed Income Attribution (Presentation Slides). written by Emlyn James Flint and published by . This book was released on 2020 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: Any investment process is ultimately a series of decisions (explicit & implicit) based on a set of market views, resulting in an output portfolio. Attribution quantifies the effects of these investment decisions on portfolio performance and risk over a given period of time. Attribution is thus a crucially important ex-post exercise and is used by many different groups in the investment chain. To date, there remains the perception that fixed income attribution is difficult to understand and implement. In this presentation, we attempt to allay this view by providing a high-level, non-technical introduction to the fundamentals of fixed income attribution. We describe a hybrid fixed income attribution model, composed of several well-known attribution methodologies, and discuss a list of market and decision factors that could be used in the model. We end off by showcasing examples of industry-generated attribution reports and provide readers with a short bibliography of practical fixed income attribution literature to aid implementation.

Author : Per Søgaard-Andersen
Publisher :
ISBN 13 :
Total Pages : 23 pages
Book Rating : 4.78/5 ( download)

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Download or read book Fixed income performance attribution written by Per Søgaard-Andersen and published by . This book was released on 2003 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: