Advanced Portfolio Attribution Analysis - Softcover

Softcover

ISBN 10: 190433993X ISBN 13: 9781904339939

Publisher: Risk Books, 2007

Synopsis

This is the only book specifically focused on performance attribution, a technique used to quantify the excess return of a portfolio against its benchmark and to explain performance in terms of active investment management decisions. It presents the various models that analysts use to breakdown and quantify how a portfolio is performing which will help you to understand why your portfolio behaves the way it does. Aimed at advanced practitioners, this book will provide you with a clearer understanding of your investments and will, crucially, help you identify if and where you are getting value from your portfolio.There has been rapid change in this field over recent years and this book covers all the hot topics such as: Yield Curve Decomposition; Multi-currency Attribution; VAR Attribution; Combining risk and return attribution; How to choose an attribution system; Multi-level attribution; Attribution for derviatives. It is recommended for performance, risk and attribution analysts, risk managers, heads of compliance, portfolio managers, fund managers, investment consultants, pension fund trustees and consultants, investment directors, and quantitative analysts.

About this title

About the Author

Carl Bacon is non-executive chairman of StatPro. StatPro develops and markets specialist middle office reporting software to the asset management industry. Carl also runs his own consultancy business providing advice to asset managers on various risk and performance measurement issues.Prior to joining StatPro Carl was director of Risk Control and Performance at Foreign & Colonial Management Ltd, Vice President Head of Performance (Europe) for JP Morgan Investment Management Inc, and Head of Performance for Royal Insurance Asset Management.Carl holds a BSc Hons in mathematics from Manchester University and is a member of the UK Investment Performance Committee (UKIPC), the European Investment Performance Committee (EIPC) and the Investment Performance Council (IPC). An original GIPS(R) committee member, Carl also chairs the IPC Interpretations Sub-Committee, is ex-chair of the IPC Verification Sub-committee and is a member of the advisory board of the Journal of Performance Measurement.Carl is the author of "Practical Portfolio Performance Measurement & Attribution" (John Wiley & Sons, 2004). As well as publishing numerous journals papers he also runs training courses, aimed predominantly at performance analysts.

Edition details

• Publisher: Risk Books
• Publication date: 2007
• ISBN 10: 190433993X
• ISBN 13: 9781904339939
• Binding: Paperback
• Language: English
• Number of pages: 350
• Editor: Bacon Carl R.