Fixed Income Attribution by Andrew Colin

By Andrew Colin

Fastened source of revenue attribution is by means of its very nature a posh and mathematically difficult subject, and there's little details to be had in this quarter. fastened source of revenue Attribution has been written to fill this large void. This accomplished source includes either theoretical and useful information regarding operating and knowing fastened source of revenue attribution, together with the maths of attribution, useful barriers, benchmarks, presentation instruments, and selecting and operating an attribution method. packed with insightful examples and professional recommendation, fastened source of revenue Attribution is the best resource of data for these operating during this advanced surroundings.

Show description

Read or Download Fixed Income Attribution PDF

Similar investments & securities books

Harmonic Trading, Advanced Strategies for Profiting from the Natural Order of the Financial Markets

The main complex Harmonic buying and selling thoughts Ever Published--by Their writer, Scott Carney!   “Perhaps the best shortcoming of the sector of Technical research is the excessive measure of subjectivity in expense trend interpretation. In Harmonic buying and selling: quantity 2, hugely revered technical analyst Scott Carney reduces subjectivity to a minimal along with his Fibonacci-based rate dimension innovations and conventional technical research tools.

Alternative Beta Strategies and Hedge Fund Replication (Wiley Finance)

There s a buzzword that has fast captured the mind's eye of product prone and traders alike: "hedge fund replication". within the broadest experience, replicating hedge fund ideas capability replicating their go back assets and corresponding threat exposures. besides the fact that, there nonetheless lacks a coherent photo on what hedge fund replication skill in perform, what its premises are, easy methods to distinguish di erent methods, and the place this may lead us to.

Income investing today : safety and high income through diversification

Source of revenue making an investment this day source of revenue making an investment this day info a secure substitute to the disadvantage hazards inherent within the inventory market--income securities that may supply a 7% to eight% annual money source of revenue. With this booklet, mounted source of revenue professional Richard Lehmann outlines source of revenue making an investment thoughts you must comprehend, quite a few funding automobiles, and funding options that can assist you construct a secure, diverse portfolio of investments.

The Dick Davis Dividend: Straight Talk on Making Money from 40 Years on Wall Street

A pioneer within the monetary media, Dick Davis has interacted with the making an investment public for over 40 years. together with his new e-book, he maintains this development. the 1st a part of The Dick Davis Dividend comprises an easy-to-read, but profound dialogue of the necessities of investing—focusing at the savvy veteran’s frequently unconventional, center ideals.

Additional resources for Fixed Income Attribution

Sample text

There is very little difference between 1-year and 30-year yields. S. P. P. K.

Calculation of Returns 15 Where daily revaluations are used, these formulae give accurate approximations to the true rate of return. They may be used for individual securities or for the portfolio as a whole. What are the advantages of the Dietz formulae? Unlike some other methodologies, they allow the distorting effects of cash flows to be minimized, so that we can compare like with like. For instance, it is sometimes possible for an unscrupulous fund manager to adjust the timing of cash flows to the start or end of the month to add a few basis points of performance.

The value added by a stock i is given by i = rBi · aPi − aBi + aPi · rPi − rBi rVA When there are no cash flows and instruments are priced consistently across portfolio and benchmark, the stock’s return is the same in the portfolio as in the benchmark, in which case rPi = rBi which implies i rVA = rBi · aPi − aBi That is, the value added by stock i is just the asset allocation return for the stock. When presenting stock-level attribution returns, it can be convenient to show the figures in terms of active return and active weight.

Download PDF sample

Rated 4.03 of 5 – based on 49 votes