Investment Performance Attribution

A Guide To What It Is, How To Calculate It, And How To Use It

David Spaulding

272 pages, parution le 27/02/2003

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Résumé

Investment performance measurement is fine for telling you what happened-but only performance attribution goes a step further to explain why it happened. Uniquely valuable in that it allows you to truly learn from your investment results, attribution gives you the specific information and convincing data you need to know which techniques were successful and to what degree they were successful.

Investment Performance Attribution, written by David Spaulding, a leading expert on the metrics and merits of performance attribution, provides you with the best current thinking on every essential aspect of this hot-and hotly debated-area. Meticulously documented and easy to understand, it features:

Three widely used models for domestic equity attribution-plus a basic approach to fixed income attribution
Separate chapters on contribution as well as equity, fixed income, global, and geometric attribution
Arithmetic and geometric methods-from the basic to the mathematically intense- lor linking attribution effects over time
Techniques for viewing attribution results from different perspectives to uncover masked causes and results
Methods for finding the correct software vendor and off-the-shelf system or designing a model around your own specifications

Whether you are an institutional investor looking to track and understand your own investment performance, a financial consultant seeking to explain portfolio performance to your clients, or a client in need of accurate and unbiased answers, Investment Performance Attribution will help you understand with far greater precision what caused return above or below a benchmark. It is today's only guidebook to provide investors with a comprehensive array of attribution applications and models, tips and techniques for using them effectively, and warning signs of incorrect interpretation of model results. You will understand not only what occurred but why it occurred in today's increasingly complex and unforgiving investment environment.

Contents

An Overview to Attribution
Contribution
Equity Attribution
Fixed Income Attribution
Global Attribution
Geometric Attribution
Linking Across Time-Arithmetic
Linking Across Time-Geometric
Other Attribution Concepts
Attribution Challenges
Using the Information
Searching for an Attribution System
The Future of Attribution

L'auteur - David Spaulding

DAVID SPAULDING is preside of The Spaulding Group, an investment consulting, research, training, and publishing firm, and an internationally recognized authority on investment performance measurement. Founder and publisher of The Journal of Performance Measurement®, Spaulding is also the author of Measuring Investment Performance. He serves as a member of the Investment Performance Council, the IPC Interpretations Subcommittee, and the AIMR-PPS Implementation Committee.

Caractéristiques techniques

	PAPIER
Éditeur(s)	Mc Graw Hill
Auteur(s)	David Spaulding
Parution	27/02/2003
Nb. de pages	272
Format	15,5 x 23,5
Couverture	Relié
Poids	517g
Intérieur	Noir et Blanc
EAN13	9780071408851
ISBN13	978-0-07-140885-1