Publisher's Synopsis
Until now, fixed income attribution has been seen as a complex and mathematically demanding topic. Despite its interest to the investment community, there has been little information available on the subject beyond the occasional research paper and internal interest-group publication. Fixed Income Attribution fills this gap, by showing how to break down the returns on a fixed income portfolio by source of investment risk, in a clear, accessible style.
Fixed Income Attribution
- Explains for the first time the theory and practice of fixed income attribution in detail
- Shows how to reveal the effects of multiple investment decisions in fixed income portfolios, including yield return, term structure effects, credit and liquidity effects, and others
- Contains both theoretical and practical information about fixed income attribution, including the mathematics of attribution, yield curve modeling, practical limitations, benchmarks, presentation tools
- Includes all the information you need, gathered in one place
"In this book Andrew has shown he has a fundamental grasp of the problems and pitfalls associated with finxed income attribution. He clearly presents a number of different approaches to a difficult problem and, quite rightly so in my opinion, does not set out to pretend that one method is any better or any worse than any other. More of a recipe book than a prescription: it is up to the reader to decide which is most appropriate to their needs. The style is easy to read, both with and without a detailed knowledge of maths. This book deserves to take pride of place as an attribution reference."
-Dr Paul Dentskevich, Senior Quantitative Analyst, Threadneedle Asset Management Ltd.
