Advanced Portfolio Attribution Analysis - Risk Books
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Advanced Portfolio Attribution Analysis

Edited By Carl Bacon


A new multi-contributor title presenting you with a complete range of perspectives on the very latest research, cutting-edge ideas and current approaches to portfolio return and risk attribution. Contains key information to facilitate your investment decision-making process.

Publish date: 1 Nov 2007

Availability: In stock


Book description

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 derivatives

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.

Book details

Publish date
1 Nov 2007
155mm x 235mm

Editor biography

Carl Bacon

Carl Bacon joined StatPro Group plc as Chairman in April 2000. 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 J P Morgan Investment Management Inc., and Head of Performance for Royal Insurance Asset Management.Carl holds a B.Sc. Hons. in Mathematics from Manchester University and is an executive committee member of, and an associate tutor for 7city Learning. A founder member of both the Investment Performance Council and GIPS®, Carl is ex-chair the IPC Interpretations & IPC Verification Sub-Committees, and is a member of the Advisory Board of the Journal of Performance Measurement.Carl is also the author of "Practical Portfolio Performance Measurement & Attribution" part of the Wiley Finance Series and editor of "Advanced Portfolio Attribution Analysis".

Table of contents



Carl Bacon

1 The Toolkit to Analyze a Pure StockPicker

Timothy Ryan

2 Arithmetic Performance Attribution

Damien Laker

3 Performance Attribution in Practice

Andrew Turner & Andrew Kophamel

4 Multi-level Attribution

Didier Cabon & Mathieu Cubilie

5 Comparing Arithmetic and Geometric Attribution

Cecilia Wong

6 The Annualisation of Attribution

Andre Mirabelli

7 Multi-currency Attribution

Carl Bacon

8 Derivative Products in Performance Attribution

Mathieu Cubilie

9 Integrating Attribution into Manager and Analyst Compensation Schemes

Ron Surz

10 A New Approach to Decomposition of Yield Curve Movements for Fixed Income Attribution

Frederic Bardoux

11 Unconventional Attribution: Fresh Insights into Investment Processes

Malcolm Smith

12 Risk Attribution

Phillipe Gregoire

13 Attribution and Risk-Adjusted Performance Metrics

Andrew Colin

14 Risk, Reward and Performance Attribution

Con Keating

15 Selecting Performance Attribution Systems

Peter Ellis

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