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Mastering Attribution in Finance:A practitioner's guide to risk-based analysis of investment returns

Mastering Attribution in Finance:A practitioner's guide to risk-based analysis of investment returns

Autorzy
Wydawnictwo Pearson Education
Data wydania 01/12/2015
Wydanie Pierwsze
Liczba stron 312
Forma publikacji książka w miękkiej oprawie
Poziom zaawansowania Dla profesjonalistów, specjalistów i badaczy naukowych
Język angielski
ISBN 9781292114026
Kategorie Inwestycje i papiery wartościowe
399.00 PLN (z VAT)
$108.52 / €88.97 / £76.44 /
Produkt dostępny
Dostawa 2 dni
Ilość
Do schowka

Opis książki

Mastering Attribution in Finance is a comprehensive guide to how attribution is used in equity and fixed income markets.

 

 

Attribution in finance is a key investment and asset management process used in managed funds. A managed fund uses appropriate financial tools to make sure that the fundâ?˜s value is maintained or increased. Attribution tools are used to analyse why a portfolioâ??s performance differs from a benchmark. The difference between the portfolio return and the benchmark return is known as the active return.

 

 

As with all Mastering titles, this book is written by an expert in the field. It will show you how to:

 

  • Understand how attribution is used in equity and fixed income markets
  • Improve your knowledge of the mathematics used in performance and attribution
  • Assess in greater detail the effects top-down attribution and attribution on specific types of fixed income security
  • Broaden your awareness of performance and return

Mastering Attribution in Finance:A practitioner's guide to risk-based analysis of investment returns

Spis treści

About the author

Acknowledgements

Preface

 

1 An introduction to attribution

1.1 Securities, portfolios and risk

1.2 Types of risk

1.3 Return and attribution

1.4 Strategy tagging

1.5 Types of attribution

1.6 Book structure

 

PART 1 Equity attribution

2 The basics of performance measurement

2.1 Introduction

2.2 Defining return

2.3 Compounded returns

2.4 Time-weighted and money-weighted returns

2.5 Portfolio returns

2.6 Transactions and cash flow

2.7 Sector returns

2.8 Calculating portfolio returns over successive intervals

2.9 Futures cash offsets

2.10 Edge cases

2.11 External returns

2.12 Benchmarks

2.13 Active return

2.14 Stochastic attribution

2.15 Liability-driven investment (LDI)

 

3 Equity attribution

3.1 Introduction

3.2 Brinson attribution

3.3 Single level Brinson attribution

3.4 Multiple-level asset allocation

3.5 Off-benchmark securities

3.6 Successive portfolio attribution

3.7 Security-level attribution

 

4 Currency attribution

4.1 Introduction

4.2 Currency attribution returns

4.3 Performance and attribution on unhedged portfolios

4.4 Attribution on an unhedged portfolio

4.5 Portfolio hedging

4.6 Currency forwards

4.7 Hedging and risk

4.8 NaĂŻve attribution on a hedged portfolio

4.9 Measuring hedge returns

4.10 Brinson attribution on a hedged portfolio

4.11 Problems with the Brinson approach when hedging is active

4.12 Calculating base and return premiums

4.13 The Karnosky-Singer attribution model

4.14 Running Karnosky-Singer attribution on an unhedged portfolio

 

5 Smoothing algorithms

5.1 Why returns do not combine neatly over time

5.2 The importance of internally consistent return contributions

5.3 Path-independence

5.4 Carino smoothing

5.5 Geometric smoothing

5.6 Foreign exchange return and smoothing

5.7 Summary

 

PART 2 Fixed income attribution

6 An overview of fixed income risks

6.1 Introduction

6.2 What is a bond?

6.3 Pricing conventions

6.4 Matur

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