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Fixed income attribution

Author: Andrew Colin
Publisher: Hoboken, NJ : Wiley, ©2005.
Series: Wiley finance series.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:

Despite a profound lack of information, interest in fixed income investment is very high. Fund managers are looking to improve their knowledge and capabilities in this area to ensure they can measure  Read more...

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Genre/Form: Electronic books
Additional Physical Format: Print version:
Colin, Andrew.
Fixed income attribution.
Hoboken, NJ : Wiley, ©2005
(DLC) 2004023806
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Andrew Colin
ISBN: 9780470011751 0470011750
OCLC Number: 70070280
Description: 1 online resource (xiv, 143 pages) : illustrations.
Contents: Preface. Acknowledgements. 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. References. Index.
Series Title: Wiley finance series.
Responsibility: Andrew Colin.

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