Investment Performance Attribution / Edition 1

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Overview

Investment Performance Attribution involves identifying and quantifying those activities that increase investment return above a given benchmark--and is the hottest topic in institutional investing today. Investment Performance Attribution is the first book to provide clear and in-depth coverage of how and when to use the varying forms of attribution. It makes necessarily high-level attribution mathematics accessible, and will become an essential reference for professional money managers and institutional investors.
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Product Details

  • ISBN-13: 9780071408851
  • Publisher: McGraw-Hill Companies, The
  • Publication date: 1/7/2003
  • Edition number: 1
  • Pages: 274
  • Sales rank: 1,186,933
  • Product dimensions: 0.58 (w) x 9.00 (h) x 6.00 (d)

Meet the Author

David Spaulding is president of consulting and research firm The Spaulding Group and publisher of The Journal of Performance Measurement.

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Table of Contents

Foreword
Preface and Acknowledgements
Ch. 1 An Overview of Attribution 1
Ch. 2 Contribution 15
Ch. 3 Equity Attribution 29
Ch. 4 Fixed Income Attribution 53
Ch. 5 Global Attribution 79
Ch. 6 Geometric Attribution 105
Ch. 7 Linking Across Time - Arithmetic 119
Ch. 8 Linking Across Time - Geometric 157
Ch. 9 Other Attribution Concepts 169
Ch. 10 Attribution Challenges 177
Ch. 11 Using the Information 185
Ch. 12 Searching for an Attribution System 199
Ch. 13 The Future of Attribution 209
Exercise Solutions 215
References 243
App.: Additional Resources 245
Index 247
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