Investment Performance Attribution - Spaulding, David
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Investment Performance Attribution provides an overview of the various analytical techniques that can be used to evaluate the performance of a portfolio, in particular the excess return (also knows as "active return" or "alpha") above (or below) the benchmark. A proper attribution tells us what caused the excess return, or where value was added or subtracted as a result of a managers decisions. Knowing this tells the manager and client how well the portfolio did and for what reasons (both intentional and unintentional), what worked and what did not, and validates or invalidates the investment…mehr

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Produktbeschreibung
Investment Performance Attribution provides an overview of the various analytical techniques that can be used to evaluate the performance of a portfolio, in particular the excess return (also knows as "active return" or "alpha") above (or below) the benchmark. A proper attribution tells us what caused the excess return, or where value was added or subtracted as a result of a managers decisions. Knowing this tells the manager and client how well the portfolio did and for what reasons (both intentional and unintentional), what worked and what did not, and validates or invalidates the investment strategies and methods used. This high-level book is filled with mathematical formulas and tables. However, the math is presented in as simple a fashion as possible, and the prose is clear, concise, and conversational. (His previous book was praised for its simple, straightforward style.)

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