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Fixed income attribution /

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Bibliographic Details
Main Author: Colin, Andrew
Format: eBook
Language:English
Published: Hoboken, NJ : Wiley, ©2005.
Series:Wiley finance series.
Subjects:
Fixed-income securities.
Portfolio management.
Rate of return.
Online Access:Connect to the full text of this electronic book
Table of Contents:
  • Attribution in the Investment Process
  • Calculation of Returns
  • Simple Attribution
  • Yield Curves in Attribution
  • Interest Rate Risk and Portfolio Management
  • Measuring Changes in Yield Curves
  • Converting Yield Movements into Performance
  • The Hierarchy of Fixed Income Returns
  • Yield Return and Coupon Return
  • Treasury Curve Return
  • Roll Return
  • Credit Return
  • Optionality Return
  • Asset Allocation Return
  • Other sources of return
  • Worked Examples
  • Implementing an Attribution System
  • Fixed Income Benchmarks
  • Presenting Attribution Results
  • Beyond Fixed Income Attribution
  • Appendix A: Derivation of the Normal Equations for a Least Squares Fit.