Advanced portfolio attribution analysis : new approaches to return and risk
著者
書誌事項
Advanced portfolio attribution analysis : new approaches to return and risk
Risk Books, c2007
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注記
Includes bibliographical references and index
内容説明・目次
内容説明
This is the only book specifically focused on performance attribution, a technique used to quantify the excess return of a portfolio against its benchmark and to explain performance in terms of active investment management decisions. It presents the various models that analysts use to breakdown and quantify how a portfolio is performing which will help you to understand why your portfolio behaves the way it does. Aimed at advanced practitioners, this book will provide you with a clearer understanding of your investments and will, crucially, help you identify if and where you are getting value from your portfolio.There has been rapid change in this field over recent years and this book covers all the hot topics such as: Yield Curve Decomposition; Multi-currency Attribution; VAR Attribution; Combining risk and return attribution; How to choose an attribution system; Multi-level attribution; Attribution for derviatives. It is recommended for performance, risk and attribution analysts, risk managers, heads of compliance, portfolio managers, fund managers, investment consultants, pension fund trustees and consultants, investment directors, and quantitative analysts.
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