Performance Attribution Volume Two
Analysis and Reporting
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Product details:
- Edition number 2
- Publisher Academic Press
- Date of Publication 20 March 2026
- ISBN 9780128183014
- Binding Paperback
- No. of pages430 pages
- Size 235x191 mm
- Weight 450 g
- Language English 700
Categories
Long description:
This Second Edition of Performance Attribution and Evaluation Volume Two: Analysis and Reporting explains the practical aspects of building or interpreting a top-to-bottom performance attribution system applicable to many asset classes, providing a toolkit of attribution techniques for analyzing the performance of portfolio managers. 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), this volume‘s 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:
CHAPTER 1 Basic performance evaluation models
CHAPTER 2 Passive and active portfolio management
and the characteristics of benchmarks
CHAPTER 3 Attribution analysis for equity portfolios
CHAPTER 4 Introduction to multicurrency performance
attribution
CHAPTER 5 Attribution analysis for fixed income
portfolios
CHAPTER 6 Analysis of multiasset class portfolios and
hedge funds
CHAPTER 7 Attribution analysis with derivatives
CHAPTER 8 Global Investment Performance Standards (GIPS)
David D. Spaulding
Appendix A: Calculating estimated transaction costs
on
Appendix B: Shortcomings of The aggregate method for
composite returns
Appendix C: What is meant by time-weighting?
Appendix D: How to create carve-outs?
