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Part 5 Attribution in practice
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Part 5 Attribution in practice
by Andrew Colin
Mastering Attribution in Finance
Cover
Title page
Contents
Dedication
About the author
Acknowledgements
Preface
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
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Afterword
Appendices
A A summary of the Karnosky-Singer attribution model
B Explicit pricing of an FRN
C Attribution on Australian and New Zealand bond futures
D Parametric and non-parametric yield curve models
E Replicating the return of a hedged benchmark
F Duration-weighted yields
G Combining duration allocation returns
H Sources of yield curve data
Bibliography
Index
Endorsements
Advertisements
Imprint
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22 Collateralised and securitised debt
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23 Popular attribution models
Part 5
ATTRIBUTION IN PRACTICE
23. Popular attribution models
24. Reporting
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