Performance Attribution Volume 2
Analysis and Reporting
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Product details:
- Edition number 2
- Publisher Academic Press
- Date of Publication 1 December 2025
- ISBN 9780128183014
- Binding Paperback
- No. of pages350 pages
- Size 235x191 mm
- Language English 700
Categories
Long description:
Performance Attribution Volume 2: Analysis and Reporting, Second Edition explains the practical aspects of building or interpreting a top-to-bottom performance attribution system applicable to many asset classes. Requiring a familiarity with the principal concepts of portfolio analysis, it features standard methodologies and alternative approaches to the attribution of diverse assets, including derivatives, fixed income, and hedge funds. Based on the authors' Performance Evaluation and Attribution of Security Portfolios (2012), its concentration on the ethical standards embodied by GIPS includes a summary of provisions for the presentation of risk in a firm's investments.
- Features new changes to Global Investment Performance Standards (GIPS)
- Expands and updates all chapters, including new sections on the return calculation of derivatives
- Embodies a practical point-of-view and clear division of chapters
Table of Contents:
1. Basic Performance Evaluation Models
2. Indices and the Construction of Benchmarks
3. Attribution Analysis for Equity Portfolios According to the Brinson Approach
4. Attribution Analysis for Fixed Income Portfolios
5. Analysis of Multi-Asset Class Portfolios and Hedge Funds
6. Attribution Analysis with Derivatives
7. Global Investment Performance Standards (GIPS)
8. Return Calculation for Derivatives
