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.