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Performance Evaluation and Attribution Volume Two
Analysis and Reporting
Performance Evaluation and Attribution Volume Two: Analysis and Reporting
This Second Edition 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
