Description
This Second Edition of Performance Attribution and Evaluation Volume Two: Analysis and Reporting explains the practical aspects of building or interpreting a top-to-bottom performance attribution system applicable to many asset classes, providing a toolkit of attribution techniques for analyzing the performance of portfolio managers. 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), this volume's concentration on the ethical standards embodied by GIPS includes a summary of provisions for the presentation of risk in a firm's investments.• Features new changes to Global Investment Performance Standards (GIPS)• Expands and updates all chapters, including new sections on the return calculation of derivatives• Embodies a practical point of view and clear division of chapters
Table of Contents
CHAPTER 1 Basic performance evaluation modelsCHAPTER 2 Passive and active portfolio managementand the characteristics of benchmarksCHAPTER 3 Attribution analysis for equity portfoliosCHAPTER 4 Introduction to multicurrency performanceattributionCHAPTER 5 Attribution analysis for fixed incomeportfoliosCHAPTER 6 Analysis of multiasset class portfolios andhedge fundsCHAPTER 7 Attribution analysis with derivativesCHAPTER 8 Global Investment Performance Standards (GIPS)David D. SpauldingAppendix A: Calculating estimated transaction costsonAppendix B: Shortcomings of The aggregate method forcomposite returnsAppendix C: What is meant by time-weighting?Appendix D: How to create carve-outs?
