Fixed Income Attribution.
Andrew. Colin
Bok Engelsk 2005 · Electronic books.
| Utgitt | Chichester : Wiley , c2005
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|---|---|
| Omfang | 1 online resource (163 pages)
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| Utgave | 2nd ed.
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| Opplysninger | Intro -- Fixed Income Attribution -- Contents -- Preface -- Acknowledgements -- A Note on Notation -- PART I: CONCEPTS OF ATTRIBUTION -- 1 Attribution in the Investment Process -- 1.1 Introduction -- 1.2 The problem -- 1.3 Adding value to portfolios -- 1.4 Skill in investment -- 1.4.1 Luck -- 1.4.2 Skill -- 1.5 Picking the good from the bad -- 1.6 Insight from attribution -- 1.7 Example -- 1.8 Living without attribution -- 1.9 Why is attribution difficult? -- 1.10 What does this book not cover? -- 1.11 What are we aiming for? -- 2 Calculation of Returns -- 2.1 Introduction -- 2.2 Getting it right -- 2.3 Rate of return -- 2.4 Linking performance over multiple intervals -- 2.5 Performance of single securities in the presence of cash flows -- 2.6 Performance of portfolios without cash flows -- 2.7 Performance of portfolios with cash flows -- 2.8 Portfolio cash flow assumptions -- 2.9 Example 1 -- 2.10 Performance contribution -- 2.11 Bringing it all together -- 2.12 The effects of futures on performance -- 2.13 Short position -- 2.14 Example 2: Some unusual asset allocations -- 2.15 Example 3: A pathological case -- 2.16 Example 4: A portfolio with zero market value -- 2.17 Geometric compounding -- 2.17.1 Stock return -- 2.17.2 Portfolio return -- 2.17.3 Sector return -- 2.18 Performance from several sources of return -- 3 Simple Attribution -- 3.1 Introduction -- 3.2 Equity attribution -- 3.3 Additive attribution -- 3.4 Basic attribution: top-down or bottom-up? -- 3.5 Which assumptions to use? -- 3.6 Example -- 3.6.1 Measuring overall investment performance -- 3.7 Attribution at the sector level -- 3.8 Attribution for single stocks -- 3.9 Combining attribution returns over time -- 3.10 Self-consistency across time -- 3.11 Summary -- 4 Yield Curves in Attribution -- 4.1 Introduction -- 4.2 Yield curves -- 4.3 What is a yield curve?.. - 18.1 Introduction -- 18.2 Benchmark replication -- 18.3 Availability of data -- 18.4 Replicating benchmark returns from data -- 18.5 Treatment of cash -- 19 Presenting Attribution Results -- 19.1 Introduction -- 19.2 Reporting formats -- 19.3 Presenting numerical data -- 19.3.1 Paper reports -- 19.3.2 On-line reporting -- 19.3.3 OLAP technology -- 19.4 Presenting graphical data -- 19.5 Report design -- 20 Beyond Fixed Income Attribution -- 20.1 Fixed income attribution in the investment process -- 20.1.1 Improved term structure modelling -- 20.1.2 Risk and reward -- 20.1.3 What-if risk modelling -- 20.1.4 Portfolio optimizers -- 20.1.5 Systems integration -- 20.2 Conclusion -- Appendix A Derivation of the Normal Equations for a Least Squares Fit -- A.1 Polynomial functions -- A.2 Nelson-Siegel functions -- References -- Index.. - 4.4 Why yield curves matter in attribution -- 4.5 Different types of yield -- 4.5.1 Coupon rate -- 4.5.2 Current yield (or running yield) -- 4.5.3 Yield to maturity -- 4.6 Zero-coupon yield -- 4.7 Sovereign and credit curves -- 4.8 What should a curve look like? -- 4.9 Different types of curve - advantages and disadvantages -- 4.9.1 Par curves -- 4.9.2 Duration curves -- 4.9.3 Zero-coupon curves -- 4.10 Comparing different curve types -- 4.11 How do yield curves behave? -- 4.12 Credit curves -- 4.13 Finding yield curve data -- 5 Interest Rate Risk and Portfolio Management -- 5.1 Introduction -- 5.2 Return in fixed income portfolios -- 5.3 Risk numbers and interest rate sensitivity -- 5.4 Aggregating risk numbers -- 5.5 Hedging risk -- 5.6 Portfolio structure -- 5.7 Risk immunization -- 6 Measuring Changes in Yield Curves -- 6.1 Introduction -- 6.2 Curve shapes -- 6.3 Curves - the raw data -- 6.4 A typical curve movement -- 6.5 Describing curve changes -- 6.5.1 Should one go any further? -- 6.5.2 Can one use other movement descriptions? -- 6.6 Worked examples -- 6.7 Model-free representations of curves -- 6.8 Fitted model representations -- 6.9 Shift and curve positioning analysis -- 6.10 Polynomial term structure models -- 6.10.1 Example 1: Worked example for polynomial model -- 6.11 Nelson-Siegel term structure models -- 6.11.1 Example 2: Worked example for Nelson-Siegel model -- 6.12 Principal component analysis -- 6.13 Fitting data to models -- 6.14 Constraints in curve fitting -- 7 Converting Yield Movements into Performance -- 7.1 Pricing from first principles -- 7.2 Measuring the effects of yield curve shifts -- 7.3 Perturbational pricing -- PART II: SOURCES OF ATTRIBUTION RETURN -- 8 The Hierarchy of Fixed Income Returns -- 8.1 Subjectivity in attribution -- 8.2 Excess precision -- 9 Yield Return and Coupon Return -- 9.1 Yield return.. - 9.2 Decomposition into coupon and convergence return -- 9.3 Coupon return -- 9.4 Convergence return -- 9.5 Decomposition into systematic and specific return -- 9.6 Calculating yield return -- 10 Treasury Curve Return -- 10.1 Movements in the Treasury curve -- 10.2 No curve analysis -- 10.3 Shift/twist/butterfly -- 10.4 Duration attribution -- 11 Roll Return -- 11.1 Introduction -- 11.2 Maximizing roll return -- 11.3 Measuring roll return -- 11.4 Measuring the effect of roll -- 11.5 Separating roll return from yield curve return -- 12 Credit Return -- 12.1 Introduction -- 12.2 Credit spread and security-specific return -- 12.3 Curves and securities -- 12.4 Fine structure credit curve movement -- 12.5 Different types of credit attribution -- 12.6 Swap curve attribution -- 12.7 Credit curve attribution -- 12.8 Sector curve attribution -- 12.9 Country attribution -- 13 Optionality Return -- 14 Asset Allocation Return -- 14.1 Case 1 -- 14.2 Case 2 -- 14.3 Case 3 -- 15 Other Sources of Return -- 15.1 Convexity return -- 15.2 Liquidity (security-specific) return -- 15.3 Trading and price return -- 15.4 Residual return -- 16 Worked Examples -- 16.1 Example 1: Yield return and term structure return -- 16.1.1 Decomposing returns -- 16.2 Example 2: Yield return and detailed term structure return -- PART III: FIXED INCOME ATTRIBUTION IN PRACTICE -- 17 Implementing an Attribution System -- 17.1 Build or buy? -- 17.2 Match to existing investment process -- 17.3 Can the attribution approach be extended? -- 17.4 Performance calculation engine -- 17.5 Integration with other systems -- 17.6 Benchmark and data issues -- 17.7 Reporting -- 17.8 IT requirements -- 17.9 Cost -- 17.10 Time -- 17.11 Management support -- 17.12 Intellectual capital -- 17.13 Interface to legacy systems -- 17.14 User expectations -- 17.15 In general . . . -- 18 Fixed Income Benchmarks.. - Fixed income attribution is by its very nature a complex and mathematically demanding topic, and there is little information available on this area. Fixed Income Attribution has been written to fill this tremendous void. This comprehensive resource contains both theoretical and practical information about running and understanding fixed income attribution, including the mathematics of attribution, practical limitations, benchmarks, presentation tools, and choosing and running an attribution system. Filled with insightful examples and expert advice, Fixed Income Attribution is the perfect source of information for those working in this complex environment.
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| Emner | |
| Sjanger | |
| Dewey | |
| ISBN | 0470011750
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