Mastering Attribution in Finance: A practitioner's guide to risk-based analysis of investment returns : 9781292114026

Mastering Attribution in Finance: A practitioner's guide to risk-based analysis of investment returns

Andrew Colin
Published by
Pearson United Kingdom
Out of stock
Title type
Title type

Mastering Attribution in Finance is a comprehensive guide to how attribution is used in equity and fixed income markets.


As with all Mastering titles, this book is written by an expert in the field. The book:

  • Presents a structure overview of attribution in finance
  • Provides a complete mathematical toolkit, including all the necessary formulae
  • Covers all the key models, such as The Campisi model, Duration attribution, the Tim Lord model, key rate attribution, top-down attribution, Karnosky-Singer attribution model, Parametric and non-parametric yield curve models, Brinson attribution
  • Includes tricks and techniques for trading specific types of fixed income security
Table of contents
  • 1 An introduction to attribution
  • PART 1 Equity attribution
  • 2 The basics of performance measurement
  • 3 Equity attribution
  • 4 Currency attribution
  • 5 Smoothing algorithms
  • PART 2 Fixed income attribution
  • 6 An overview of fixed income risks
  • 7 Yield curves in attribution
  • 8 Pricing, risk and the attribution equation
  • PART 3 Sources of fixed income return
  • 9 Carry return
  • 10 Sovereign curve attribution
  • 11 Sector and credit return
  • 12 Other security-specific sources of return
  • 13 Balanced attribution
  • 14 Duration allocation attribution
  • PART 4 Attribution on fixed income securities
  • 15 Bonds
  • 16 Money market securities
  • 17 Inflation-linked securities
  • 18 Futures
  • 19 Annuities and amortising securities
  • 20 Swaps
  • 21 Options and callable bonds
  • 22 Collateralised and securitised debt
  • PART 5 Attribution in practice
  • 23 Popular attribution models
  • 24 Reporting
  • Afterword
  • Appendix A: A summary of the Karnosky-Singer attribution model
  • Appendix B: Explicit pricing of an FRN
  • Appendix C: Attribution on Australian and New Zealand bond futures
  • Appendix D: Parametric and non-parametric yield curve models
  • Appendix E: Replicating the return of a hedged benchmark
  • Appendix F: Duration-weighted yields
  • Appendix G: Combining duration allocation returns
  • Appendix H: Sources of yield curve data
  • Bibliography
  • Index
Author biography

Andrew Colin is a leading authority in the field of investment performance attribution. He's worked at Citigroup, the Commonwealth Bank, Zurich Investment Management, JP Morgan, StatPro and Queensland University of Technology. He's also managed many consulting projects in defence and applied statistics.

Student supplements