Performance Evaluation and Attribution of Security Portfolios: Investments and Portfolio Management

Performance Evaluation and Attribution of Security Portfolios: Investments and Portfolio Management, 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), the book'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 INDICE: 1. Basic Performance Evaluation Models2. Indices and the Construction of Benchmarks3. Attribution Analysis for Equity Portfolios According to the Brinson Approach4. Attribution Analysis for Fixed Income Portfolios5. Analysis of Multi-Asset Class Portfolios and Hedge Funds6. Attribution Analysis with Derivatives7. Global Investment Performance Standards (GIPS)8. Return Calculation for Derivatives

• ISBN: 978-0-12-818301-4
• Editorial: Academic Press
• Encuadernacion: Rústica
• Páginas: 400
• Fecha Publicación: 01/06/2023
• Nº Volúmenes: 1
• Idioma: Inglés