{"product_id":"fixed-income-attribution-isbn-9780470011751","title":"Fixed Income Attribution","description":"Fixed income attribution is by its very nature a complex and mathematically demanding topic, and there is little information available on this area. \u003ci\u003eFixed Income Attribution\u003c\/i\u003e has been written to fill this tremendous void. This comprehensive resource contains both theoretical and practical information about running and understanding fixed income attribution, including the mathematics of attribution, practical limitations, benchmarks, presentation tools, and choosing and running an attribution system. Filled with insightful examples and expert advice, \u003ci\u003eFixed Income Attribution\u003c\/i\u003e is the perfect source of information for those working in this complex environment. \u003cp\u003ePreface xiii\u003c\/p\u003e \u003cp\u003eAcknowledgements xv\u003c\/p\u003e \u003cp\u003eA Note on Notation xvii\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart I: Concepts of Attribution 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003e1 Attribution in the Investment Process 3\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e1.1 Introduction 3\u003c\/p\u003e \u003cp\u003e1.2 The problem 3\u003c\/p\u003e \u003cp\u003e1.3 Adding value to portfolios 4\u003c\/p\u003e \u003cp\u003e1.4 Skill in investment 5\u003c\/p\u003e \u003cp\u003e1.4.1 Luck 5\u003c\/p\u003e \u003cp\u003e1.4.2 Skill 5\u003c\/p\u003e \u003cp\u003e1.5 Picking the good from the bad 5\u003c\/p\u003e \u003cp\u003e1.6 Insight from attribution 6\u003c\/p\u003e \u003cp\u003e1.7 Example 7\u003c\/p\u003e \u003cp\u003e1.8 Living without attribution 8\u003c\/p\u003e \u003cp\u003e1.9 Why is attribution difficult? 9\u003c\/p\u003e \u003cp\u003e1.10 What does this book not cover? 9\u003c\/p\u003e \u003cp\u003e1.11 What are we aiming for? 9\u003c\/p\u003e \u003cp\u003e\u003cb\u003e2 Calculation of Returns 11\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e2.1 Introduction 11\u003c\/p\u003e \u003cp\u003e2.2 Getting it right 11\u003c\/p\u003e \u003cp\u003e2.3 Rate of return 12\u003c\/p\u003e \u003cp\u003e2.4 Linking performance over multiple intervals 12\u003c\/p\u003e \u003cp\u003e2.5 Performance of single securities in the presence of cash flows 12\u003c\/p\u003e \u003cp\u003e2.6 Performance of portfolios without cash flows 13\u003c\/p\u003e \u003cp\u003e2.7 Performance of portfolios with cash flows 13\u003c\/p\u003e \u003cp\u003e2.8 Portfolio cash flow assumptions 14\u003c\/p\u003e \u003cp\u003e2.9 Example 1 15\u003c\/p\u003e \u003cp\u003e2.10 Performance contribution 16\u003c\/p\u003e \u003cp\u003e2.11 Bringing it all together 16\u003c\/p\u003e \u003cp\u003e2.12 The effects of futures on performance 17\u003c\/p\u003e \u003cp\u003e2.13 Short position 17\u003c\/p\u003e \u003cp\u003e2.14 Example 2: Some unusual asset allocations 17\u003c\/p\u003e \u003cp\u003e2.15 Example 3: A pathological case 18\u003c\/p\u003e \u003cp\u003e2.16 Example 4: A portfolio with zero market value 19\u003c\/p\u003e \u003cp\u003e2.17 Geometric compounding 19\u003c\/p\u003e \u003cp\u003e2.17.1 Stock return 19\u003c\/p\u003e \u003cp\u003e2.17.2 Portfolio return 20\u003c\/p\u003e \u003cp\u003e2.17.3 Sector return 20\u003c\/p\u003e \u003cp\u003e2.18 Performance from several sources of return 20\u003c\/p\u003e \u003cp\u003e\u003cb\u003e3 Simple Attribution 23\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e3.1 Introduction 23\u003c\/p\u003e \u003cp\u003e3.2 Equity attribution 23\u003c\/p\u003e \u003cp\u003e3.3 Additive attribution 24\u003c\/p\u003e \u003cp\u003e3.4 Basic attribution: top-down or bottom-up? 25\u003c\/p\u003e \u003cp\u003e3.5 Which assumptions to use? 26\u003c\/p\u003e \u003cp\u003e3.6 Example 27\u003c\/p\u003e \u003cp\u003e3.6.1 Measuring overall investment performance 27\u003c\/p\u003e \u003cp\u003e3.7 Attribution at the sector level 28\u003c\/p\u003e \u003cp\u003e3.8 Attribution for single stocks 29\u003c\/p\u003e \u003cp\u003e3.9 Combining attribution returns over time 31\u003c\/p\u003e \u003cp\u003e3.10 Self-consistency across time 32\u003c\/p\u003e \u003cp\u003e3.11 Summary 33\u003c\/p\u003e \u003cp\u003e\u003cb\u003e4 Yield Curves in Attribution 35\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e4.1 Introduction 35\u003c\/p\u003e \u003cp\u003e4.2 Yield curves 35\u003c\/p\u003e \u003cp\u003e4.3 What is a yield curve? 36\u003c\/p\u003e \u003cp\u003e4.4 Why yield curves matter in attribution 36\u003c\/p\u003e \u003cp\u003e4.5 Different types of yield 37\u003c\/p\u003e \u003cp\u003e4.5.1 Coupon rate 37\u003c\/p\u003e \u003cp\u003e4.5.2 Current yield (or running yield) 37\u003c\/p\u003e \u003cp\u003e4.5.3 Yield to maturity 37\u003c\/p\u003e \u003cp\u003e4.6 Zero-coupon yield 38\u003c\/p\u003e \u003cp\u003e4.7 Sovereign and credit curves 38\u003c\/p\u003e \u003cp\u003e4.8 What should a curve look like? 38\u003c\/p\u003e \u003cp\u003e4.9 Different types of curve – advantages and disadvantages 39\u003c\/p\u003e \u003cp\u003e4.9.1 Par curves 39\u003c\/p\u003e \u003cp\u003e4.9.2 Duration curves 39\u003c\/p\u003e \u003cp\u003e4.9.3 Zero-coupon curves 39\u003c\/p\u003e \u003cp\u003e4.10 Comparing different curve types 40\u003c\/p\u003e \u003cp\u003e4.11 How do yield curves behave? 40\u003c\/p\u003e \u003cp\u003e4.12 Credit curves 43\u003c\/p\u003e \u003cp\u003e4.13 Finding yield curve data 43\u003c\/p\u003e \u003cp\u003e\u003cb\u003e5 Interest Rate Risk and Portfolio Management 45\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e5.1 Introduction 45\u003c\/p\u003e \u003cp\u003e5.2 Return in fixed income portfolios 45\u003c\/p\u003e \u003cp\u003e5.3 Risk numbers and interest rate sensitivity 45\u003c\/p\u003e \u003cp\u003e5.4 Aggregating risk numbers 46\u003c\/p\u003e \u003cp\u003e5.5 Hedging risk 47\u003c\/p\u003e \u003cp\u003e5.6 Portfolio structure 47\u003c\/p\u003e \u003cp\u003e5.7 Risk immunization 48\u003c\/p\u003e \u003cp\u003e\u003cb\u003e6 Measuring Changes in Yield Curves 51\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e6.1 Introduction 51\u003c\/p\u003e \u003cp\u003e6.2 Curve shapes 51\u003c\/p\u003e \u003cp\u003e6.3 Curves – the raw data 51\u003c\/p\u003e \u003cp\u003e6.4 A typical curve movement 51\u003c\/p\u003e \u003cp\u003e6.5 Describing curve changes 53\u003c\/p\u003e \u003cp\u003e6.5.1 Should one go any further? 55\u003c\/p\u003e \u003cp\u003e6.5.2 Can one use other movement descriptions? 55\u003c\/p\u003e \u003cp\u003e6.6 Worked examples 55\u003c\/p\u003e \u003cp\u003e6.7 Model-free representations of curves 56\u003c\/p\u003e \u003cp\u003e6.8 Fitted model representations 57\u003c\/p\u003e \u003cp\u003e6.9 Shift and curve positioning analysis 57\u003c\/p\u003e \u003cp\u003e6.10 Polynomial term structure models 58\u003c\/p\u003e \u003cp\u003e6.10.1 Example 1: Worked example for polynomial model 59\u003c\/p\u003e \u003cp\u003e6.11 Nelson–Siegel term structure models 60\u003c\/p\u003e \u003cp\u003e6.11.1 Example 2: Worked example for Nelson–Siegel model 62\u003c\/p\u003e \u003cp\u003e6.12 Principal component analysis 63\u003c\/p\u003e \u003cp\u003e6.13 Fitting data to models 64\u003c\/p\u003e \u003cp\u003e6.14 Constraints in curve fitting 64\u003c\/p\u003e \u003cp\u003e\u003cb\u003e7 Converting Yield Movements into Performance 65\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e7.1 Pricing from first principles 65\u003c\/p\u003e \u003cp\u003e7.2 Measuring the effects of yield curve shifts 66\u003c\/p\u003e \u003cp\u003e7.3 Perturbational pricing 67\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart II: Sources of Attribution Return 71\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003e8 The Hierarchy of Fixed Income Returns 73\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e8.1 Subjectivity in attribution 73\u003c\/p\u003e \u003cp\u003e8.2 Excess precision 73\u003c\/p\u003e \u003cp\u003e\u003cb\u003e9 Yield Return and Coupon Return 75\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e9.1 Yield return 75\u003c\/p\u003e \u003cp\u003e9.2 Decomposition into coupon and convergence return 75\u003c\/p\u003e \u003cp\u003e9.3 Coupon return 75\u003c\/p\u003e \u003cp\u003e9.4 Convergence return 76\u003c\/p\u003e \u003cp\u003e9.5 Decomposition into systematic and specific return 76\u003c\/p\u003e \u003cp\u003e9.6 Calculating yield return 77\u003c\/p\u003e \u003cp\u003e\u003cb\u003e10 Treasury Curve Return 79\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e10.1 Movements in the Treasury curve 79\u003c\/p\u003e \u003cp\u003e10.2 No curve analysis 79\u003c\/p\u003e \u003cp\u003e10.3 Shift\/twist\/butterfly 79\u003c\/p\u003e \u003cp\u003e10.4 Duration attribution 80\u003c\/p\u003e \u003cp\u003e\u003cb\u003e11 Roll Return 83\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e11.1 Introduction 83\u003c\/p\u003e \u003cp\u003e11.2 Maximizing roll return 83\u003c\/p\u003e \u003cp\u003e11.3 Measuring roll return 84\u003c\/p\u003e \u003cp\u003e11.4 Measuring the effect of roll 85\u003c\/p\u003e \u003cp\u003e11.5 Separating roll return from yield curve return 85\u003c\/p\u003e \u003cp\u003e\u003cb\u003e12 Credit Return 87\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e12.1 Introduction 87\u003c\/p\u003e \u003cp\u003e12.2 Credit spread and security-specific return 87\u003c\/p\u003e \u003cp\u003e12.3 Curves and securities 88\u003c\/p\u003e \u003cp\u003e12.4 Fine structure credit curve movement 88\u003c\/p\u003e \u003cp\u003e12.5 Different types of credit attribution 89\u003c\/p\u003e \u003cp\u003e12.6 Swap curve attribution 89\u003c\/p\u003e \u003cp\u003e12.7 Credit curve attribution 89\u003c\/p\u003e \u003cp\u003e12.8 Sector curve attribution 92\u003c\/p\u003e \u003cp\u003e12.9 Country attribution 93\u003c\/p\u003e \u003cp\u003e\u003cb\u003e13 Optionality Return 95\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003e14 Asset Allocation Return 97\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e14.1 Case 1 97\u003c\/p\u003e \u003cp\u003e14.2 Case 2 98\u003c\/p\u003e \u003cp\u003e14.3 Case 3 98\u003c\/p\u003e \u003cp\u003e\u003cb\u003e15 Other Sources of Return 101\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e15.1 Convexity return 101\u003c\/p\u003e \u003cp\u003e15.2 Liquidity (security-specific) return 101\u003c\/p\u003e \u003cp\u003e15.3 Trading and price return 102\u003c\/p\u003e \u003cp\u003e15.4 Residual return 103\u003c\/p\u003e \u003cp\u003e\u003cb\u003e16 Worked Examples 105\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e16.1 Example 1: Yield return and term structure return 105\u003c\/p\u003e \u003cp\u003e16.1.1 Decomposing returns 106\u003c\/p\u003e \u003cp\u003e16.2 Example 2: Yield return and detailed term structure return 106\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart III: Fixed Income Attribution in Practice 109\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003e17 Implementing an Attribution System 111\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e17.1 Build or buy? 111\u003c\/p\u003e \u003cp\u003e17.2 Match to existing investment process 111\u003c\/p\u003e \u003cp\u003e17.3 Can the attribution approach be extended? 111\u003c\/p\u003e \u003cp\u003e17.4 Performance calculation engine 111\u003c\/p\u003e \u003cp\u003e17.5 Integration with other systems 112\u003c\/p\u003e \u003cp\u003e17.6 Benchmark and data issues 112\u003c\/p\u003e \u003cp\u003e17.7 Reporting 112\u003c\/p\u003e \u003cp\u003e17.8 IT requirements 113\u003c\/p\u003e \u003cp\u003e17.9 Cost 113\u003c\/p\u003e \u003cp\u003e17.10 Time 113\u003c\/p\u003e \u003cp\u003e17.11 Management support 113\u003c\/p\u003e \u003cp\u003e17.12 Intellectual capital 113\u003c\/p\u003e \u003cp\u003e17.13 Interface to legacy systems 114\u003c\/p\u003e \u003cp\u003e17.14 User expectations 114\u003c\/p\u003e \u003cp\u003e17.15 In general 114\u003c\/p\u003e \u003cp\u003e\u003cb\u003e18 Fixed Income Benchmarks 115\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e18.1 Introduction 115\u003c\/p\u003e \u003cp\u003e18.2 Benchmark replication 116\u003c\/p\u003e \u003cp\u003e18.3 Availability of data 117\u003c\/p\u003e \u003cp\u003e18.4 Replicating benchmark returns from data 118\u003c\/p\u003e \u003cp\u003e18.5 Treatment of cash 119\u003c\/p\u003e \u003cp\u003e\u003cb\u003e19 Presenting Attribution Results 121\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e19.1 Introduction 121\u003c\/p\u003e \u003cp\u003e19.2 Reporting formats 121\u003c\/p\u003e \u003cp\u003e19.3 Presenting numerical data 122\u003c\/p\u003e \u003cp\u003e19.3.1 Paper reports 122\u003c\/p\u003e \u003cp\u003e19.3.2 On-line reporting 122\u003c\/p\u003e \u003cp\u003e19.3.3 OLAP technology 122\u003c\/p\u003e \u003cp\u003e19.4 Presenting graphical data 126\u003c\/p\u003e \u003cp\u003e19.5 Report design 131\u003c\/p\u003e \u003cp\u003e\u003cb\u003e20 Beyond Fixed Income Attribution 133\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e20.1 Fixed income attribution in the investment process 133\u003c\/p\u003e \u003cp\u003e20.1.1 Improved term structure modelling 133\u003c\/p\u003e \u003cp\u003e20.1.2 Risk and reward 134\u003c\/p\u003e \u003cp\u003e20.1.3 What-if risk modelling 135\u003c\/p\u003e \u003cp\u003e20.1.4 Portfolio optimizers 135\u003c\/p\u003e \u003cp\u003e20.1.5 Systems integration 136\u003c\/p\u003e \u003cp\u003e20.2 Conclusion 136\u003c\/p\u003e \u003cp\u003e\u003cb\u003eAppendix A Derivation of the Normal Equations for a Least Squares Fit 137\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eA.1 Polynomial functions 137\u003c\/p\u003e \u003cp\u003eA.2 Nelson–Siegel functions 137\u003c\/p\u003e \u003cp\u003eReferences 139\u003c\/p\u003e \u003cp\u003eIndex 141\u003c\/p\u003e  \u003cb\u003eANDREW COLIN\u003c\/b\u003e is Fixed Income Research Director for the StatPro Group plc. He has previously worked or consulted for Citibank London, Zurich Investment Management, the Commonwealth Bank, Suncorp Metway, Chubb Security, Arthur Andersen, EDS, Alcatel and the Royal Australian Navy. \u003cbr\u003e Andrew is Adjunct Professor in the Faculty of Business at Queensland University of Technology, Brisbane, and holds a PhD in Mathematics from the University of St Andrews. His research interests include risk management and machine intelligence.  Until now, fixed income attribution has been seen as a complex and mathematically demanding topic. Despite its interest to the investment community, there has been little information available on the subject beyond the occasional research paper and internal interest-group publication. \u003ci\u003eFixed Income Attribution\u003c\/i\u003e fills this gap, by showing how to break down the returns on a fixed income portfolio by source of investment risk, in a clear, accessible style.  \u003cp\u003e\u003ci\u003eFixed Income Attribution\u003c\/i\u003e\u003c\/p\u003e \u003cul\u003e \u003cli\u003eExplains for the first time the theory and practice of fixed income attribution in detail\u003c\/li\u003e \u003cli\u003eShows how to reveal the effects of multiple investment decisions in fixed income portfolios, including yield return, term structure effects, credit and liquidity effects, and others\u003c\/li\u003e \u003cli\u003eContains both theoretical and practical information about fixed income attribution, including the mathematics of attribution, yield curve modeling, practical limitations, benchmarks, presentation tools\u003c\/li\u003e \u003cli\u003eIncludes all the information you need, gathered in one place\u003c\/li\u003e \u003c\/ul\u003e \u003cp\u003e\"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.\"\u003cbr\u003e —\u003cb\u003eDr Paul Dentskevich\u003c\/b\u003e, Senior Quantitative Analyst, Threadneedle Asset Management Ltd.\u003c\/p\u003e","brand":"Wiley","offers":[{"title":"Default Title","offer_id":47989219229925,"sku":"NP9780470011751","price":130.0,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/1842\/7735\/files\/9780470011751.jpg?v=1761783255","url":"https:\/\/k12savings.com\/products\/fixed-income-attribution-isbn-9780470011751","provider":"K12savings","version":"1.0","type":"link"}