LEADER 05364nam 22006854a 450 001 9910143691203321 005 20230617004156.0 010 $a1-118-67356-5 010 $a1-280-27560-X 010 $a9786610275601 010 $a0-470-01358-3 035 $a(CKB)1000000000357437 035 $a(EBL)228611 035 $a(OCoLC)475936932 035 $a(SSID)ssj0000155816 035 $a(PQKBManifestationID)11161055 035 $a(PQKBTitleCode)TC0000155816 035 $a(PQKBWorkID)10122157 035 $a(PQKB)11611592 035 $a(MiAaPQ)EBC228611 035 $a(Au-PeEL)EBL228611 035 $a(CaPaEBR)ebr10113953 035 $a(CaONFJC)MIL27560 035 $a(EXLCZ)991000000000357437 100 $a20041008d2005 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aFixed income attribution$b[electronic resource] /$fAndrew Colin 210 $aHoboken, NJ $cWiley$dc2005 215 $a1 online resource (163 p.) 225 1 $aWiley finance series 300 $aDescription based upon print version of record. 311 $a0-470-01175-0 320 $aIncludes bibliographical references and index. 327 $aFixed Income Attribution; Contents; Preface; Acknowledgements; A Note on Notation; PART I: CONCEPTS OF ATTRIBUTION; 1 Attribution in the Investment Process; 1.1 Introduction; 1.2 The problem; 1.3 Adding value to portfolios; 1.4 Skill in investment; 1.4.1 Luck; 1.4.2 Skill; 1.5 Picking the good from the bad; 1.6 Insight from attribution; 1.7 Example; 1.8 Living without attribution; 1.9 Why is attribution difficult?; 1.10 What does this book not cover?; 1.11 What are we aiming for?; 2 Calculation of Returns; 2.1 Introduction; 2.2 Getting it right; 2.3 Rate of return 327 $a2.4 Linking performance over multiple intervals2.5 Performance of single securities in the presence of cash flows; 2.6 Performance of portfolios without cash flows; 2.7 Performance of portfolios with cash flows; 2.8 Portfolio cash flow assumptions; 2.9 Example 1; 2.10 Performance contribution; 2.11 Bringing it all together; 2.12 The effects of futures on performance; 2.13 Short position; 2.14 Example 2: Some unusual asset allocations; 2.15 Example 3: A pathological case; 2.16 Example 4: A portfolio with zero market value; 2.17 Geometric compounding; 2.17.1 Stock return 327 $a2.17.2 Portfolio return2.17.3 Sector return; 2.18 Performance from several sources of return; 3 Simple Attribution; 3.1 Introduction; 3.2 Equity attribution; 3.3 Additive attribution; 3.4 Basic attribution: top-down or bottom-up?; 3.5 Which assumptions to use?; 3.6 Example; 3.6.1 Measuring overall investment performance; 3.7 Attribution at the sector level; 3.8 Attribution for single stocks; 3.9 Combining attribution returns over time; 3.10 Self-consistency across time; 3.11 Summary; 4 Yield Curves in Attribution; 4.1 Introduction; 4.2 Yield curves; 4.3 What is a yield curve? 327 $a4.4 Why yield curves matter in attribution4.5 Different types of yield; 4.5.1 Coupon rate; 4.5.2 Current yield (or running yield); 4.5.3 Yield to maturity; 4.6 Zero-coupon yield; 4.7 Sovereign and credit curves; 4.8 What should a curve look like?; 4.9 Different types of curve - advantages and disadvantages; 4.9.1 Par curves; 4.9.2 Duration curves; 4.9.3 Zero-coupon curves; 4.10 Comparing different curve types; 4.11 How do yield curves behave?; 4.12 Credit curves; 4.13 Finding yield curve data; 5 Interest Rate Risk and Portfolio Management; 5.1 Introduction 327 $a5.2 Return in fixed income portfolios5.3 Risk numbers and interest rate sensitivity; 5.4 Aggregating risk numbers; 5.5 Hedging risk; 5.6 Portfolio structure; 5.7 Risk immunization; 6 Measuring Changes in Yield Curves; 6.1 Introduction; 6.2 Curve shapes; 6.3 Curves - the raw data; 6.4 A typical curve movement; 6.5 Describing curve changes; 6.5.1 Should one go any further?; 6.5.2 Can one use other movement descriptions?; 6.6 Worked examples; 6.7 Model-free representations of curves; 6.8 Fitted model representations; 6.9 Shift and curve positioning analysis; 6.10 Polynomial term structure models 327 $a6.10.1 Example 1: Worked example for polynomial model 330 $aFixed income attribution is by its very nature a complex and mathematically demanding topic, and there is little information available on this area. Fixed Income Attribution has been written to fill this tremendous void. This comprehensive resource contains both theoretical and practical information about running and understanding fixed income attribution, including the mathematics of attribution, practical limitations, benchmarks, presentation tools, and choosing and running an attribution system. Filled with insightful examples and expert advice, Fixed Income Attribution is the 410 0$aWiley finance series. 606 $aFixed-income securities 606 $aPortfolio management 606 $aRate of return 615 0$aFixed-income securities. 615 0$aPortfolio management. 615 0$aRate of return. 676 $a332.63/2044 700 $aColin$b Andrew$0930114 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910143691203321 996 $aFixed income attribution$92091892 997 $aUNINA