Mastering Attribution in Finance

Table of contents

1. Cover
2. Title page
3. Contents
4. Dedication
5. About the author
6. Acknowledgements
7. Preface
8. 1 An introduction to attribution
9. Part 1 Equity attribution
   1. 2 The basics of performance measurement
   2. 3 Equity attribution
   3. 4 Currency attribution
   4. 5 Smoothing algorithms
10. Part 2 Fixed income attribution
    1. 6 An overview of fixed income risks
    2. 7 Yield curves in attribution
    3. 8 Pricing, risk and the attribution equation
11. Part 3 Sources of fixed income return
    1. 9 Carry return
    2. 10 Sovereign curve attribution
    3. 11 Sector and credit return
    4. 12 Other security-specific sources of return
    5. 13 Balanced attribution
    6. 14 Duration allocation attribution
12. Part 4 Attribution on fixed income securities
    1. 15 Bonds
    2. 16 Money market securities
    3. 17 Inflation-linked securities
    4. 18 Futures
    5. 19 Annuities and amortising securities
    6. 20 Swaps
    7. 21 Options and callable bonds
    8. 22 Collateralised and securitised debt
13. Part 5 Attribution in practice
    1. 23 Popular attribution models
    2. 24 Reporting
14. What did you think of this book?
15. Afterword
16. Appendices
    1. A A summary of the Karnosky-Singer attribution model
    2. B Explicit pricing of an FRN
    3. C Attribution on Australian and New Zealand bond futures
    4. D Parametric and non-parametric yield curve models
    5. E Replicating the return of a hedged benchmark
    6. F Duration-weighted yields
    7. G Combining duration allocation returns
    8. H Sources of yield curve data
17. Bibliography
18. Index
19. Endorsements
20. Advertisements
21. Imprint