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Fixed income attribution [[electronic resource] /] / Andrew Colin
| Fixed income attribution [[electronic resource] /] / Andrew Colin |
| Autore | Colin Andrew |
| Pubbl/distr/stampa | Hoboken, NJ, : Wiley, c2005 |
| Descrizione fisica | 1 online resource (163 p.) |
| Disciplina | 332.63/2044 |
| Collana | Wiley finance series |
| Soggetto topico |
Fixed-income securities
Portfolio management Rate of return |
| ISBN |
1-118-67356-5
1-280-27560-X 9786610275601 0-470-01358-3 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Fixed 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
2.4 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 2.17.2 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? 4.4 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 5.2 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 6.10.1 Example 1: Worked example for polynomial model |
| Record Nr. | UNINA-9910143691203321 |
Colin Andrew
|
||
| Hoboken, NJ, : Wiley, c2005 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Fixed income attribution / / Andrew Colin
| Fixed income attribution / / Andrew Colin |
| Autore | Colin Andrew |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Hoboken, NJ, : Wiley, c2005 |
| Descrizione fisica | 1 online resource (163 p.) |
| Disciplina | 332.63/2044 |
| Collana | Wiley finance series |
| Soggetto topico |
Fixed-income securities
Portfolio management Rate of return |
| ISBN |
1-118-67356-5
1-280-27560-X 9786610275601 0-470-01358-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Fixed 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
2.4 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 2.17.2 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? 4.4 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 5.2 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 6.10.1 Example 1: Worked example for polynomial model |
| Record Nr. | UNINA-9910810581503321 |
|
Colin Andrew
|
||
| Hoboken, NJ, : Wiley, c2005 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Mastering attribution in finance : a practitioner's guide to risk-based analysis of investment returns / / Andrew Colin
| Mastering attribution in finance : a practitioner's guide to risk-based analysis of investment returns / / Andrew Colin |
| Autore | Colin Andrew |
| Pubbl/distr/stampa | Harlow, England : , : Pearson Education, , [2016] |
| Descrizione fisica | 1 online resource (xxi, 289 pages) : illustrations |
| Disciplina | 332.6 |
| Soggetto topico |
Rate of return - Mathematical models
Technical analysis (Investment analysis) Portfolio management Investments Fixed-income securities |
| ISBN | 1-292-11404-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910154957703321 |
|
Colin Andrew
|
||
| Harlow, England : , : Pearson Education, , [2016] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||