Investment Performance Attribution: A Guide to what it Is, how to Calculate It, and how to Use itMcGraw Hill Professional, 2003 - Всего страниц: 254 Investment Performance Attribution involves identifying and quantifying those activities that increase investment return above a given benchmark--and is the hottest topic in institutional investing today. Investment Performance Attribution is the first book to provide clear and in-depth coverage of how and when to use the varying forms of attribution. It makes necessarily high-level attribution mathematics accessible, and will become an essential reference for professional money managers and institutional investors. |
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Chapter | 1 |
Chapter | 9 |
Fixed Income Attribution | 53 |
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Adjusted approach asset allocation attribution analysis attribution model B-F model Basic Materials basis points benchmark return BHB model bond Brinson calculate cash flows chapter Consumer Cyclicals Consumer Non-Cyc contribution Cross-Hedged Currency Rate derive difference duration Effect Portfolio Index Euro example factors Financial fixed income formula forward contract geometric attribution geometric excess return geometric linking global Healthcare hedging Income Effect Index Portfolio Index industry selection effect investment law of attribution linked attribution effects linked effects linked excess return Market Effects Month 2 Month monthly negative overall benchmark Performance Attribution performance measurement period portfolio and benchmark Portfolio Index Portfolio Portfolio Index Stk portfolio manager portfolio return portfolio weight positive Returns Portfolio risk Risk Premium ROR Weight Rp Rb sector return sector selection shows Steve Campisi Stock Selection Effect TABLE Technology Telecom third law Total U.S. dollars vendors versus yield curve yield spread