Fixed income attribution /
Colin, Andrew.
Hoboken, N.J. : Wiley,
c2005.
Includes bibliographical references and index.
Attribution in the Investment Process -- Calculation of Returns -- Simple Attribution -- Yield Curves in Attribution -- Interest Rate Risk and Portfolio Management -- Measuring Changes in Yield Curves -- Converting Yield Movements into Performance -- The Hierarchy of Fixed Income Returns -- Yield Return and Coupon Return -- Treasury Curve Return -- Roll Return -- Credit Return -- Optionality Return -- Asset Allocation Return -- Other sources of return -- Worked Examples -- Implementing an Attribution System -- Fixed Income Benchmarks -- Presenting Attribution Results -- Beyond Fixed Income Attribution -- Appendix A: Derivation of the Normal Equations for a Least Squares Fit.
Fixed-income securities.
Portfolio management.
Rate of return.