Fixed Income Attribution
"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.
A Note on Notation.
PART I: CONCEPTS OF ATTRIBUTION.
1. Attribution in the Investment Process.
2. Calculation of Returns.
3. Simple Attribution.
4. Yield Curves in Attribution.
5. Interest Rate Risk and Portfolio Management.
6. Measuring Changes in Yield Curves.
7. Converting Yield Movements into Performance.
PART II: SOURCES OF ATTRIBUTION RETURN.
8. The Hierarchy of Fixed Income Returns.
9. Yield Return and Coupon Return.
10. Treasury Curve Return.
11. Roll Return.
12. Credit Return.
13. Optionality Return.
14. Asset Allocation Return.
15. Other Sources of Return.
16. Worked Examples.
PART III: FIXED INCOME ATTRIBUTION IN PRACTICE.
17. Implementing an Attribution System.
18. Fixed Income Benchmarks.
19. Presenting Attribution Results.
20. Beyond Fixed Income Attribution.
Appendix A: Derivation of the Normal Equations for a Least Squares Fit.