Investment Performance Attribution - A Guide To What It Is, How To Calculate It, And How To Use It

Investment performance measurement is fine for telling you what happened-but only performance attribution goes a step further to explain why it happened. Uniquely valuable in that it allows you to truly learn from your investment results, attribution gives you the specific information and convincing data you need to know which techniques were successful and to what degree they were successful.

Investment Performance Attribution, written by David Spaulding, a leading expert on the metrics and merits of performance attribution, provides you with the best current thinking on every essential aspect of this hot-and hotly debated-area. Meticulously documented and easy to understand, it features:

• Three widely used models for domestic equity attribution-plus a basic approach to fixed income attribution
• Separate chapters on contribution as well as equity, fixed income, global, and geometric attribution
• Arithmetic and geometric methods-from the basic to the mathematically intense- lor linking attribution effects over time
• Techniques for viewing attribution results from different perspectives to uncover masked causes and results
• Methods for finding the correct software vendor and off-the-shelf system or designing a model around your own specifications

Whether you are an institutional investor looking to track and understand your own investment performance, a financial consultant seeking to explain portfolio performance to your clients, or a client in need of accurate and unbiased answers, Investment Performance Attribution will help you understand with far greater precision what caused return above or below a benchmark. It is today's only guidebook to provide investors with a comprehensive array of attribution applications and models, tips and techniques for using them effectively, and warning signs of incorrect interpretation of model results. You will understand not only what occurred but why it occurred in today's increasingly complex and unforgiving investment environment.

Contents

• An Overview to Attribution
• Contribution
• Equity Attribution
• Fixed Income Attribution
• Global Attribution
• Geometric Attribution
• Linking Across Time-Arithmetic
• Linking Across Time-Geometric
• Other Attribution Concepts
• Attribution Challenges
• Using the Information
• Searching for an Attribution System
• The Future of Attribution