Fixed Income Attribution
By Andrew Colin
Fixed income
attribution is by its very nature a complex and mathematically
demanding topic, and there is little information available on this
area. Fixed Income Attribution has been written to fill this
tremendous void.
This comprehensive resource contains both theoretical and practical
information about running and understanding fixed income
attribution, including the mathematics of attribution, practical
limitations, benchmarks, presentation tools, and choosing and
running an attribution system.
Filled with insightful examples and expert advice, Fixed Income
Attribution is the perfect source of information for those working
in this complex environment.
References
In this book Andrew has shown he has a fundamental grasp of
the problems and pitfalls associated with fixed income attribution.
He clearly presents a number of different approaches to a difficult
subject and, quite rightly so in my opinion, does not set out to
pretend that one method is any better or any worse than any other.
More of a recipe book than a prescription: it is up to the reader
to decide which is most appropriate to their needs. The style is
easy to read, both with and without a detailed knowledge of maths.
This book deserves to take pride of place as an attribution
reference.
Dr Paul Dentskevich, Senior Quantitative Analyst,
Threadneedle Asset Management Ltd
Anyone who's interested in fixed income attribution needs to
have Andrew Colin's book. It's extremely well organized, providing
both fundamental as well as advanced material on this very
important topic. It should be a part of every performance
measurement professional's library.
David Spaulding, The Spaulding Group,
Inc.
This book's title provides an insight into the destination to
which Andrew Colin will take the reader. The journey however is of
no less interest as the reader is led gently through the
fundamentals of performance analytics before being introduced to an
in depth appreciation of the complexities of fixed income
attribution. An excellent book by one of the industry's leading
authorities.
Kyle Ringrose, Manager, Wealth Management Accounting and
Investment Operations, Suncorp Metway
In this book Andrew Colin shines a bright spotlight on a very
dark area of performance attribution. This book is sure to become
the definitive reference for fixed income attribution.
Carl Bacon, Chairman, StatPro plc
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