| ISBN | Product | Product | Price CHF | Available | |
|---|---|---|---|---|---|
| Mastering Attribution in Finance |
9781292114026 Mastering Attribution in Finance |
118.00 |
approx. 7-9 days
|
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:
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 Naïve 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 Maturity
6.5 Coupons
6.6 Discounted cash flows and net present value
6.7 Pricing a bond from its discounted cash flows
6.8 Bond yield and carry return
6.9 Prices and yields
6.10 Return of a bond
6.11 Credit effects
6.12 The three Cs
7 Yield curves in attribution
7.1 Introduction
7.2 Why interest rates vary by term
7.3 Interpolation
7.4 Par curves and zero curves
7.5 Credit spreads
8 Pricing, risk and the attribution equation
8.1 Introduction
8.2 Pricing securities from first principles
8.3 Calculating return using the perturbational equation
8.4 Residuals
8.5 Stand-alone portfolios
PART 3 Sources of fixed income return
9 Carry return
9.1 Introduction
9.2 Carry-based investment strategies
9.3 Types of yield
9.4 Calculating carry return
9.5 Pros and cons of YTM
9.6 Decomposing carry
9.7 Which yield to use?
9.8 Decomposing carry return
9.9 Yield for non-bond securities
9.10 Using yield to maturity in attribution reports
10 Sovereign curve attribution
10.1 Introduction
10.2 Yield curve models
10.3 Parallel shift and modified duration, and why they matter
10.4 Measuring twist
10.5 Taxonomy of curve shifts
10.6 Sources of yield curve data
11 Sector and credit return
11.1 Credit spreads
11.2 Sectors and credit ratings
11.3 Building sector curves
11.4 Attribution using sector curves
11.5 Attribution on Euro bond portfolios
11.6 Attribution on credit portfolios
11.7 Credit attribution without a credit curve
12 Other security-specific sources of return
12.1 Paydown
12.2 Convexity
12.3 Rolldown
12.4 Liquidity return
13 Balanced attribution
13.1 Introduction
13.2 Calculating balanced attribution
14 Duration allocation attribution
14.1 Introduction
14.2 Return of a single fixed income security
14.3 Calculating duration returns
14.4 Discussion
PART 4 Attribution on fixed income securities
15 Bonds
15.1 Introduction
15.2 Bond pricing formulae
15.3 Types of bond
15.4 Repos
16 Money market securities
16.1 Introduction
16.2 Money market yield curves
16.3 Money market curve decomposition
16.4 Cash
16.5 Bank bills and discount securities
16.6 Accrual securities
16.7 Floating rate notes
16.8 Interest rate and credit risk
16.9 FRN types
16.10 Yields and discount margins
16.11 FRN durations
16.12 Decomposing the return of an FRN
16.13 Yield curve attribution
16.14 Attribution with complete data
16.15 Attribution with incomplete data
16.16 Treatment of FRNs in commercial systems
16.17 FRNs and securitisation
16.18 Currency forwards
16.19 Repurchase agreements (repos)
16.20 Money market benchmarks
17 Inflation-linked securities
17.1 Introduction
17.2 Overview of the inflation-linked bond market
17.3 What is an inflation-linked bond?
17.4 The Canadian model for inflation-linked debt
17.5 Inflation ratios
17.6 Real yields and nominal yields
17.7 Pricing an inflation-linked bond
17.8 Real yield term structure
17.9 Pricing an inflation-linked bond
17.10 Modified duration and return of inflation-linked gilts
17.11 Break-even yields in attribution
17.12 Inflation swaps
17.13 Practical considerations
18 Futures
18.1 Introduction
18.2 How futures work
18.3 Attribution on bond futures
18.4 Futures contracts on other fixed income securities
18.5 Heuristics for dealing with futures
19 Annuities and amortising securities
19.1 Introduction
19.2 Prepayments
19.3 Mortgage-backed securities
20 Swaps
20.1 Introduction
20.2 Two-leg swaps
20.3 Single-leg swaps
20.4 Modelling swaps
20.5 Types of swap
20.6 Credit default swaps
21 Options and callable bonds
21.1 Introduction
21.2 Measuring yield on bonds with embedded options
21.3 Optionality in practice
22 Collateralised and securitised debt
22.1 Introduction
22.2 Securitisation
22.3 Collateralised debt
22.4 Attribution on securitised debt
PART 5 Attribution in practice
23 Popular attribution models
23.1 The Campisi model
23.2 Duration attribution
23.3 The Tim Lord model
23.4 Key rate attribution
23.5 Top-down attribution
24 Reporting
24.1 Treatment of residuals
24.2 Unattributed return
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
‘… a book that brings together the details of attribution, blending both detailed theoretical concepts and practical examples. A must have for any attribution specialist.’
Andrew Kophamel CFA, CIPM, FRM
Head of Performance, Asia Pacific, Aberdeen Asset Management
Attribution in finance is a key investment and asset management process used in managed funds. It measures which investment decisions about the portfolio’s underlying risks worked and which did not, therefore allowing the fund manager to take remedial action if necessary. Attribution is critical business intelligence for anyone involved in selecting, managing or marketing investments.
Mastering Attribution in Finance:
· Presents the key concepts behind portfolio returns for equities and fixed income
· Explains the sources of risk that drive fixed income security returns
· Describes the practical aspects of attribution and the tools used in attribution reporting
· Introduces important approaches such as Brinson attribution, the Campisi model, duration attribution, the Tim Lord model, the Karnosky-Singer attribution model, and parametric and non-parametric yield curve attribution
Andrew Colin is a leading authority in the field of investment performance attribution. He's worked at Citigroup, the Commonwealth Bank, Zurich Investment Management, JP Morgan, StatPro and Queensland University of Technology. He's also managed many consulting projects in defence and applied statistics.
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