Mastering Attribution in Finance: A Practitioner'S Guide To Risk-Based Analysis Of Investment Returns, 1st edition

Published by FT Publishing International (February 1, 2016) © 2016

  • Andrew Colin
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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

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  • 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

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