This Second Edition of Performance Evaluation and Attribution Volume Two: Analysis and Reporting explains the practical aspects of building or interpreting a top-to-bottom performance attribution system applicable to many asset classes, providing a toolkit of attribution techniques for analyzing the performance of portfolio managers. Requiring a familiarity with the principal concepts of portfolio analysis, it features standard methodologies and alternative approaches to the attribution of diverse assets, including derivatives, fixed income, and hedge funds. Based on the authors’ Performance Evaluation and Attribution of Security Portfolios (2012), this volume‘s concentration on the ethical standards embodied by GIPS includes a summary of provisions for the presentation of risk in a firm’s investments.
• Features new changes to Global Investment Performance Standards (GIPS)
• Expands and updates all chapters, including new sections on the return calculation of derivatives
• Embodies a practical point of view and clear division of chapters
1. Introduction to attribution analysis - p. 83 2. Single-period attribution analysis according to the Brinson approach - p. 91 3. Multiperiod attribution analysis - p. 122 4. Attribution analysis in a geometric form - p. 145 5. Further aspects of attribution analysis - p. 150 6. Conclusion - p. 159 7. Chapter-end problems - p. 160 8. References - p. 161 9. Chapter 4. Introduction to multicurrency performance attribution - p. 163 10. Chapter 5. Attribution analysis for fixed income portfolios - p. 205 11. Abstract - p. 205 12. Investment processes for fixed income portfolios - p. 205 13. Yield curves based attribution analysis using an option-adjusted spread valuation approach - p. 219 14. Inclusion of models for the estimation of yield curves - p. 241 15. Alternative approaches - p. 250 16. Appendix A: Duration measures | Macaulay duration - p. 259 17. Appendix B: Duration measures | Modified duration - p. 263 18. Appendix C: Duration measures | Effective duration - p. 263 19. Appendix D: Duration measures | Key rate duration - p. 264 20. Appendix E: Duration measures | Spread duration - p. 267 21. Conclusion - p. 267 22. Chapter-end problems - p. 268 23. Chapter 6. Analysis of multiasset class portfolios and hedge funds - p. 269 24. Chapter 7. Attribution analysis with derivatives - p. 312 25. Chapter 8. Global Investment Performance Standards (GIPS®) - p. 343 26. Index - p. 403
This Second Edition of Performance Evaluation and Attribution Volume Two: Analysis and Reporting explains the practical aspects of building or interpreting a top-to-bottom performance attribution system applicable to many asset classes, providing a toolkit of attribution techniques for analyzing the performance of portfolio managers. Requiring a familiarity with the principal concepts of portfolio analysis, it features standard methodologies and alternative approaches to the attribution of diverse assets, including derivatives, fixed income, and hedge funds. Based on the authors’ Performance Evaluation and Attribution of Security Portfolios (2012), this volume‘s concentration on the ethical standards embodied by GIPS includes a summary of provisions for the presentation of risk in a firm’s investments.
• Features new changes to Global Investment Performance Standards (GIPS)
• Expands and updates all chapters, including new sections on the return calculation of derivatives
• Embodies a practical point of view and clear division of chapters
1. Introduction to attribution analysis - p. 83 2. Single-period attribution analysis according to the Brinson approach - p. 91 3. Multiperiod attribution analysis - p. 122 4. Attribution analysis in a geometric form - p. 145 5. Further aspects of attribution analysis - p. 150 6. Conclusion - p. 159 7. Chapter-end problems - p. 160 8. References - p. 161 9. Chapter 4. Introduction to multicurrency performance attribution - p. 163 10. Chapter 5. Attribution analysis for fixed income portfolios - p. 205 11. Abstract - p. 205 12. Investment processes for fixed income portfolios - p. 205 13. Yield curves based attribution analysis using an option-adjusted spread valuation approach - p. 219 14. Inclusion of models for the estimation of yield curves - p. 241 15. Alternative approaches - p. 250 16. Appendix A: Duration measures | Macaulay duration - p. 259 17. Appendix B: Duration measures | Modified duration - p. 263 18. Appendix C: Duration measures | Effective duration - p. 263 19. Appendix D: Duration measures | Key rate duration - p. 264 20. Appendix E: Duration measures | Spread duration - p. 267 21. Conclusion - p. 267 22. Chapter-end problems - p. 268 23. Chapter 6. Analysis of multiasset class portfolios and hedge funds - p. 269 24. Chapter 7. Attribution analysis with derivatives - p. 312 25. Chapter 8. Global Investment Performance Standards (GIPS®) - p. 343 26. Index - p. 403
