Performance Attribution Volume Two : Analysis and Reporting （2ND）

Singer, Brian/ Wermers, Russ/ Fischer, Bernd R.

Academic Press Inc（2026/02発売）

• 製本 Paperback:紙装版/ペーパーバック版／ページ数 350 p.
• 言語 ENG
• 商品コード 9780128183014
• DDC分類 332.6

Full Description

Performance Attribution Volume 2: Analysis and Reporting, Second Edition explains the practical aspects of building or interpreting a top-to-bottom performance attribution system applicable to many asset classes. Requiring a familiarity with the principal concepts of portfolio analysis, it features standard methodologies and alternative approaches to the attribution of diverse assets, including derivatives, fixed income, and hedge funds. Based on the authors' Performance Evaluation and Attribution of Security Portfolios (2012), its concentration on the ethical standards embodied by GIPS includes a summary of provisions for the presentation of risk in a firm's investments.

Contents

1. Basic Performance Evaluation Models
2. Indices and the Construction of Benchmarks
3. Attribution Analysis for Equity Portfolios According to the Brinson Approach
4. Attribution Analysis for Fixed Income Portfolios
5. Analysis of Multi-Asset Class Portfolios and Hedge Funds
6. Attribution Analysis with Derivatives
7. Global Investment Performance Standards (GIPS)
8. Return Calculation for Derivatives