Mastering attribution in finance : a practitioner's guide to risk-based analysis of investment returns /: a practitioner's guide to risk-based analysis of investment returns. (2016)

• Record Type: Book
• Further Information: Note: Andrew Colin.
• Authors: Colin, Andrew
• Contents: 1 An introduction to attribution PART 1 Equity attribution 2 The basics of performance measurement 3 Equity attribution 4 Currency attribution 5 Smoothing algorithms PART 2 Fixed income attribution 6 An overview of fixed income risks 7 Yield curves in attribution 8 Pricing, risk and the attribution equation PART 3 Sources of fixed income return 9 Carry return 10 Sovereign curve attribution 11 Sector and credit return 12 Other security-specific sources of return 13 Balanced attribution 14 Duration allocation attribution PART 4 Attribution on fixed income securities 15 Bonds 16 Money market securities 17 Inflation-linked securities 18 Futures 19 Annuities and amortising securities 20 Swaps 21 Options and callable bonds 22 Collateralised and securitised debt PART 5 Attribution in practice 23 Popular attribution models 24 Reporting Afterword Appendix A: A summary of the Karnosky-Singer attribution model Appendix B: Explicit pricing of an FRN Appendix C: Attribution on Australian and New Zealand bond futures Appendix D: Parametric and non-parametric yield curve models Appendix E: Replicating the return of a hedged benchmark Appendix F: Duration-weighted yields Appendix G: Combining duration allocation returns Appendix H: Sources of yield curve data Bibliography Index.
• Publisher Details: Harlow, England : Pearson Education
• Publication Date: 2016
• Extent: 1 online resource (xxi, 289 pages), illustrations
• Subjects: 332.632044; Portfolio management; Rate of return -- Mathematical models; Investments; Fixed-income securities; Technical analysis (Investment analysis); Investments; Gestion de portefeuille; Taux de rendement -- Modèles mathématiques; Investissements; Analyse technique (Analyse financière); Fixed-income securities; Investments; Portfolio management; Rate of return -- Mathematical models; Technical analysis (Investment analysis); Electronic books; Electronic books
• Languages: English
• ISBNs: 9781292114057; 1292114053; 9781292114040; 1292114045
• Related ISBNs: 9781292114026; 1292114029
• Notes: Note: Includes bibliographical references (pages 281-282) and index.; Note: Description based on print version record.
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.