The Handbook Of Fixed Income Securities, Ninth Edition
By Frank J. Fabozzi
Contents:
Preface xxiii
Acknowledgments xxvi
Contributors xxvii
PART ONE
INTRODUCTION
Chapter 1
Overview of the Types and Features of Fixed Income Securities 3
Frank J. Fabozzi, Adam Kobor, Steven V. Mann, and Francesco A. Fabozzi Bonds 3
Medium-Term Notes 16
Preferred Stock 17
Residential Mortgage-Backed Securities 18
Commercial Mortgage-Backed Securities 19
Asset-Backed Securities 19
Covered Bonds 20
Beyond Traditional Liquid Fixed Income Instrument 20
Key Points 21
Chapter 2
Risks Associated with Investing in Fixed Income Securities 23
Frank J. Fabozzi, Adam Kobor, Francesco A. Fabozzi, and Ravi F. Dattatreya Interest-Rate Risk 24
Reinvestment Risk 25
Call/Prepayment Risk 26
Corporate Credit Risk 26
Sovereign Credit Risk 29
Inflation, or Purchasing-Power, Risk 30
Liquidity Risk 30
Exchange-Rate Risk (Currency Risk) 33
Volatility Risk 33
Political or Legal Risk 34
Event Risk 34
Sector Risk 35
Other Risks 35
Statistical Measures of Portfolio Risk 35
Tracking Error Risk 36
Key Points 37
Chapter 3
The Structure of Interest Rates 39
Frank J. Fabozzi
The Base Interest Rate 39
Risk Premium 40
The Term Structure of Interest Rates 43
Key Points 59
PART TWO
BASICS OF FIXED INCOME ANALYTICS
Chapter 4
Bond Pricing, Yield Measures, and Total Return 63
Frank J. Fabozzi
Bond Pricing 63
Conventional Yield Measures 76
Total Return Analysis 87
Key Points 94
Chapter 5
Measuring Interest-Rate Risk 97
Frank J. Fabozzi, Gerald W. Buetow, Jr., Robert R. Johnson, and Brian J. Henderson
The Full-Valuation Approach 98
Price Volatility Characteristics of Bonds 102
Duration 111
Modified Duration Versus Effective Duration 117
Convexity 123
Price Value of a Basis Point 138
The Importance of Yield Volatility 139
Key Points 140
Chapter 6
Data Science and the Corporate Credit Markets 143
Robert S. Kricheff
Defining Data Science 145
Selected Data Science Tools, Techniques, and Uses for Investing 147
Data Science and Investment Efficiency 155
Risk and Performance 157
Why Data Science Is Different in Credit 162
Organization and Planning 164
Key Points 166
PART THREE
TREASURY, AGENCY, MUNICIPAL,
AND CORPORATE BONDS
Chapter 7
U.S. Treasury Securities 171
Michael J. Fleming and Frank J. Fabozzi
Types of Securities 172
The Primary Market 173
The Secondary Market 178
Zero-Coupon Treasury Securities 183
Key Points 184
Chapter 8
Agency Debt Securities 185
Mark Cabana
Agency Debt Market Overview 185
Types of Agency Debt Securities 188
The Primary Market 190
The Secondary Market 192
Agency Debt Issuance 193
Issuing Agencies 193
Large, Active Issuers 195
Smaller, Active Issuers 197
Nonactive Issuers and Recently Retired GSEs 198
Key Points 199
Chapter 9
Municipal Bonds 201
Sylvan G. Feldstein, Frank J. Fabozzi, Douglas Gaylor, and David Ratner
Features of Municipal Securities 203
Types of Municipal Obligations 205
The Commercial Credit Rating of Municipal Bonds 214
Municipal Bond Insurance 220
Valuation Methods 221
Tax Provisions Affecting Municipals 222
Yield Relationships Within the Municipal Bond Market 225
Primary and Secondary Markets 227
Bond Indexes 229
Official Statement 229
Regulation of the Municipal Securities Market 230
Key Points 233
Chapter 10
Corporate Bonds 235
Frank J. Fabozzi, Steven V. Mann, and Adam B. Cohen
The Corporate Trustee 236
Some Bond Fundamentals 237
Security for Bonds 240
Alternative Mechanisms to Retire Debt Before Maturity 246
Credit Risk 252
Event Risk 254
High-Yield Bonds 256
Default Rates and Recovery Rates 258
Medium-Term Notes 259
Key Points 260
Chapter 11
Leveraged Loans 263
Stephen J. Antczak, Frank J. Fabozzi, and Jung Lee
Syndicated Bank Loans 264
Loan Structure 265
Loan Terms 266
Recovery Rates 267
Secondary Market 269
Key Points 270
Chapter 12
Structured Notes and Credit-Linked Notes 273
John D. Finnerty and Rachael W. Park
Structured Notes 275
Credit-Linked Notes 291
Key Points 298
Chapter 13
Commercial Paper 301
David K. Musto
Payment Schedule and Price Quotation 301
Primary and Secondary Markets 301
Regulatory Treatment 302
Issuers 303
Investors 304
Default Risk Measurement and Realization 304
CP Rates 305
Maturity Distribution 306
Backup Lines 306
Regulatory Responses to Crises 308
Key Points 310
Chapter 14
Floating-Rate Securities 311
Frank J. Fabozzi, Fred Hoffman, and Steven V. Mann
General Features of Floaters and Major Product Types 312
Call and Put Provisions 314
Spread Measures 315
Price Volatility Characteristics of Floaters 316
Portfolio Strategies 320
Demise of LIBOR 321
Key Points 321
Chapter 15
Inflation-Linked Bonds 323
John B. Brynjolfsson
Mechanics and Measurement 325
Marketplace 331
Valuation and Performance Dynamics 332
Investors 333
Issuers 338
Other Issues 340
Key Points 341
Chapter 16
Non-U.S. Sovereign Bonds 343
Francesco A. Fabozzi, Frank J. Fabozzi, and Adam Kobor
Size of the Sovereign Bond Market 343
Types of Securities Issued 344
Primary Market for Sovereign Debt 346
Secondary Market 348
Sovereign Credit Risk 348
Sovereign Bond Yield Spreads 351
Sovereign Bonds from the Investor’s Perspective 353
Key Points 354
Chapter 17
The Emerging Markets Debt 355
Jane Brauer, Lucas Martin, and David Beker
The Debt Universe 356
External Debt Markets 358
Local Debt Markets 362
The Foreign Investor Base 364
EM Debt Performance 365
Sovereign Debt Sustainability 371
What Do EM Spreads Compensate For? 376
Sovereign Restructurings 380
Derivatives 393
Key Points 395
Chapter 18
Fixed Income Exchange Traded Funds 397
Matthew Tucker and Stephen Laipply
Investment Characteristics 398
Fixed Income ETF Management 404
Fixed Income ETF Characteristics and Mechanics 405
Trading Behavior: A Closer Look at Premiums, Discounts, and Price Discovery 412
Key Points 414
Chapter 19
Nonconvertible Preferred Stock 415
Steven V. Mann
Preferred Stock Issuance 416
Trust Preferred 417
Preferred Stock Ratings 418
Tax Treatment of Dividends 418
Key Points 419
Chapter 20
Private Infrastructure Debt 421
Frédéric Blanc-Brude
Infrastructure Borrowers 421
Characteristics 423
Pricing Determinants 429
Credit Risk 434
Key Points 440
PART FOUR
MORTGAGE-BACKED AND
ASSET-BACKED SECURITIES
Chapter 21
An Overview of Mortgages and the Mortgage Market 443
Anand K. Bhattacharya and Bill Berliner
Product Definition and Terms 444
The Mortgage Industry 453
The Loan Underwriting Process 455
Generation of Mortgage Lending Rates 458
Risks Associated with Mortgage Products 464
Key Points 470
Chapter 22
Agency Mortgage Passthrough Securities 471
Glenn Schultz and Frank J. Fabozzi
Issuers of Agency Passthroughs 472
Cash-Flow Characteristics 473
Some MBS Analytics 483
Anatomy of the Agency Passthrough Market 491
TBA Coupons 494
Specified Trades 495
Key Points 496
Chapter 23
Agency Collateralized Mortgage Obligations 499
Alexander Crawford
The CMO Market 499
The Reasons Why CMOs Exist 500
CMO Tranche Types 501
Agency Versus Nonagency CMOs 520
Agency CMO Analysis 521
Key Points 528
Chapter 24
Stripped Mortgage-Backed Securities 531
Cyrus Mohebbi, Min Fan, and Ardeshir Shahmaei
Overview of the SMBS Market 532
Investment Characteristics 536
Key Points 547
Chapter 25
Nonagency Residential Mortgage-Backed Securities:
Legacy, RMBS 2.0, and Non-QM 549
Dapeng Hu and Mario Triantafillou
Market Overview 551
Collateral 556
Capital Structure 578
Housing Market 588
Relative Value and Risk Analysis 590
Key Points 592
Chapter 26
Covered Bonds 595
Vinod Kothari
Covered Bonds: From Europe to the Rest of the World 596
Understanding Covered Bonds 596
Structure of Covered Bonds 597
Maturity Structure of Covered Bonds 602
Cover Assets and Credit Enhancements 603
Asset/Liability Mismatches and Liquidity Risk 603
Ratings of Covered Bonds 604
Covered Bonds and Securitization 604
Accounting for Covered Bonds 608
Key Points 608
Chapter 27
Commercial Mortgage-Backed Securities 611
Wayne M. Fitzgerald II, Mark D. Paltrowitz, and Amit Madaan
The Collateral Pool 613
CMBS Trust Structure 625
Transaction Participants 627
Transaction Features 630
Market Development 635
Modeling 637
Key Points 640
Chapter 28
Credit Card Asset-Backed Securities 643
John McElravey
Securitization of Credit Card Receivables 645
The Credit Card ABS Life Cycle 650
Cash-Flow Allocations 653
Credit and Investment Considerations 655
Key Points 663
Chapter 29
Securities Backed by Auto Loans and Leases,
Equipment Loans and Leases, and Student Loans 665
John McElravey
Securitization in Brief 665
Auto Loans and Leases 670
Equipment Loans and Leases 673
Student Loans 675
Key Points 678
Chapter 30
Collateralized Loan Obligations 681
Frank J. Fabozzi and Fred Hoffman
Assets 682
Capital Structure 682
Creation Purpose 683
Credit Structures 684
Market Size, Trading 685
How a CLO is Created 686
Fees 686
Buyers 687
Trading of CLO Collateral 687
Key Points 688
PART FIVE
THE YIELD CURVE AND
THE TERM STRUCTURE
Chapter 31
Overview of Forward Rate Analysis 691
Antti Ilmanen
Computation of Par, Spot, and Forward Rates 692
Main Influences on the Yield-Curve Shape 695
Using Forward Rate Analysis in Yield-Curve Trades 703
Key Points 713
Chapter 32
A Framework for Analyzing Yield-Curve Trades 715
Antti Ilmanen
Forward Rates and Their Determinants 716
Decomposing Expected Returns of Bond Positions 723
Key Points 741
Chapter 33
Empirical Yield-Curve Dynamics and Yield-Curve Exposure 743
Wesley Phoa
Empirical Analysis of Yield-Curve Dynamics 745
Theoretical Determinants of Yield-Curve Dynamics 760
Yield-Curve Dynamics and Risk Management 768
Key Points 775
Chapter 34
Term Structure Modeling with No-Arbitrage Interest Rate Models 777
Gerald W. Buetow, Jr. and Brian J. Henderson
Introduction to Models of the Short Rate 778
Binomial Interest Rate Lattices 783
Trinomial Lattice 803
Key Points 806
PART SIX
VALUATION AND RELATIVE VALUE
Chapter 35
Relative Value Trading 809
Jordan Hu, Marc Seah, and Xu Gao
What Is Fixed Income Relative Value? 809
Z-Score, Mean Reversion, and Expected Return 811
Market-Based vs. Model-Based Relative Value 813
Scenario and Horizontal Analysis 825
Data and the Future of Relative Value 827
Key Points 829
Chapter 36
Valuation of Bonds with Embedded Options 831
Frank J. Fabozzi, Andrew Kalotay, and Michael Dorigan
The Interest Rate Lattice 832
Calibrating the Lattice 836
Using the Lattice for Valuation 840
Fixed-Coupon Bonds with Embedded Options 840
Valuation of Two More Exotic Structures 845
Extensions 849
Key Points 852
Chapter 37
Valuation of Mortgage-Backed Securities 855
Rajashri (Priya) Joshi, Debra Chen, and Tom P. Davis
Static Valuation and Its Limitations 855
Monte Carlo Models for Valuing MBS 859
Mbs Modeling Framework 866
Option-Adjusted Valuation Metrics 873
An Illustrative Example 876
Key Points 879
Chapter 38
Convertible Securities 881
Mihir Bhattacharya
Convertible Note 882
Convertible Note as a Contingent Claim 888
Stages of a Convertible Note 892
Investing in Convertible Securities 894
Convertible Note Valuation Framework 896
Model Outputs: Implieds and Greeks 903
Mandatorily Convertible Securities 907
Trading Convertible Portfolios 913
Delta Trading P&L: A High Volatility Scenario Example 914
Key Points 915
Additional Comments 926
Chapter 39
Risk Neutral Pricing of Convertible Bonds 929
Peter J. Zeitsch, Matthew Hyatt, and Tom P. Davis
The Model 930
The Default Intensity 933
Specifying the Credit Spread 938
Sensitivities 952
Convertible Bond Arbitrage 968
Key Points 971
PART SEVEN
CREDIT ANALYSIS
Chapter 40
Credit Analysis for Corporate Bonds 975
Martin Fridson, Frank J. Fabozzi, and Adam B. Cohen
Approaches to Credit Analysis 975
Industry Considerations 977
Financial Analysis 983
Combining Financial and Nonfinancial Analysis 993
Indenture Provisions 994
Utilities 1002
Finance Companies 1007
The Analysis of High-Yield Corporate Bonds 1012
Credit Scoring Models 1018
Key Points 1020
Chapter 41
The Credit Analysis of Municipal General Obligation and Revenue Bonds 1021
Sylvan G. Feldstein, Douglas Gaylor, and David Ratner The Legal Opinion 1022
The Need to Know Who Really Is the Issuer 1027
On the Financial Advisor and Underwriter 1029
General Credit Indicators and Economic Factors in the Credit Analysis 1030
Red Flags for the Investor 1046
Information Sources for the Analyst 1047
Key Points 1048
Chapter 42
Credit-Risk Modeling 1051
Tim Backshall, Kay Giesecke, and Lisa Goldberg
Structural Credit Models 1052
Reduced-Form Credit Models 1062
Incomplete-Information Credit Models 1066
Key Points 1070
PART EIGHT
PORTFOLIO MANAGEMENT AND STRATEGIES
Chapter 43
Introduction to Bond Portfolio Management 1075
Kenneth E. Volpert
Overview of Traditional Bond Management 1075
Overview of the Core/Satellite Approach 1078
Why Choose Indexing? 1079
Which Index Should Be Used? 1081
Primary Bond Indexing Risk Factors 1082
Enhancing Bond Indexing 1086
Measuring Success 1092
Key Points 1094
Chapter 44
Trading in the Bond Market 1097
Gueorgui S. Konstantinov and Momtchil Pojarliev
Fixed Income Liquidity 1098
Trading Approaches 1102
Mechanics of Bond and Foreign Exchange Trading 1104
Electronic Trading 1117
Key Points 1122
Chapter 45
Bond Indexes and Bond Portfolio Management 1125
Gueorgui S. Konstantinov and Frank Osswald
Building a Bond Index 1126
Description 1128
Bond Index Risk and Return 1133
Bond Index Relationship 1134
Bond Indexes and Smart Beta 1141
Key Points 1145
Chapter 46
Quantitative Management of Benchmarked Portfolios 1147
Lev Dynkin, Jay Hyman, Vadim Konstantinovsky, and Bruce D. Phelps
Selection and Customization of Benchmarks 1148
Diversification Issues in Benchmarks 1155
Portfolio Analysis Relative to a Benchmark 1160
Quantitative Approaches to Benchmark Replication 1166
Controlling Issuer-Specific Risk in the Portfolio 1172
Quantitative Methods for Portfolio Optimization 1175
Summary: Portfolio Management Tool Set 1178
Key Points 1179
Chapter 47
Factor Investing in Fixed Income Securities 1181
Guido Baltussen, Patrick Houweling, Martin Martens, and Olaf Penninga Factor Investing 1181
Which Factors? 1184
Factors Premiums in Government Bonds 1185
Factor Premiums in Corporate Bonds 1191
Fixed Income Factors in Multi-Asset Portfolios 1198
Key Points 1201
Chapter 48
Active Factor Fixed Income Investing 1203
Pururav Thoutireddy, Patrick Klein, Thomas Runkel, and David Yuen
Active Quant Fixed Income 1203
Active Quant Top Down 1209
Active Quant Bottom Up 1212
Four-Dimensional Chess 1216
Key Points 1217
Chapter 49
Introduction to Multifactor Risk Models in Fixed Income and Their Applications 1219
Barclays
Motivation and Structure Underlying Fixed Income Multifactor Risk Models 1219
Fixed Income Risk Models 1222
Applications of Risk Modeling 1228
Key Points 1236
Chapter 50
Analyzing Risk from Multifactor Fixed Income Models 1239
Barclays
Approaches Used to Analyze Risk 1239
Key Points 1269
Chapter 51
Cash-Flow Matching 1271
Ronald J. Ryan
What Is Cash-Flow Matching? 1271
The CDI Methodology 1274
Future Value Versus Present Value 1278
Interest Rate Risk 1279
CDI Versus Active Bond Management 1279
CDI Versus LDI 1280
Key Points 1284
Chapter 52
Building Corporate Bond Portfolios 1287
Marielle de Jong
Buy-and-Hold Investing 1288
Benchmarked Portfolios 1291
Key Points 1301
Chapter 53
Managing the Spread Risk of Credit Portfolios
Using the Duration Times Spread Measure 1303
Arik Ben Dor, Lev Dynkin, and Jay Hyman
The Need for a New Measure of Credit Spread Exposure 1304
Spread Volatility and DTS 1307
Risk Projection: Predicting Spread Volatility 1310
Hedging: Predicting Sensitivities to Market Spread Changes 1314
Replication: Creating Index Tracking Portfolios 1318
Expressing Macro Views in Active Portfolios 1323
Portfolio Construction: Optimal Diversification of Issuer Risk 1323
Modeling: Calibrating Credit Risk Factors 1327
The Term Structure of Relative Spread Volatility 1329
Key Points 1330
Chapter 54
Constructing and Managing High-Yield Bond Portfolios 1331
Nicholas R. Sarchese and Mark R. Shenkman
Bottom-Up Credit/Security Analysis 1333
Top-Down High-Yield Market Drivers and Macro Considerations 1359
Portfolio Considerations 1365
Key Points 1374
Chapter 55
Corporate Bonds and ESG 1377
Gueorgui S. Konstantinov and Christoph Gross
The Bond Manager Role 1380
Managing Risks and Taking Opportunities 1381
International Norm-Based Strategies 1382
Key Strategies for Managing Climate Impact of Bond Portfolios 1383
The Green Bond Dilemma and Future Outlook 1387
Key Points 1389
Chapter 56
Global Credit Bond Portfolio Management 1391
Jack Malvey
Credit Relative-Value Analysis 1393
Total-Return Analysis 1397
Primary Market Analysis 1398
Liquidity and Trading Analysis 1400
Secondary Trade Rationales 1401
Spread Analysis 1406
Structural Analysis 1408
Credit-Curve Analysis 1411
Credit Analysis 1412
Green Bonds/ESG Compliant 1412
Asset Allocation/Sector Rotation 1413
Key Points 1413
Chapter 57
International Bond Portfolio Management 1417
Gueorgui S. Konstantinov and Frank J. Fabozzi
Risks and Returns in International Bond Portfolios 1418
A Yield Curve–Based Approach for International Bond Portfolios 1420
Currency Allocation and Bond Selection: Portfolio Construction 1425
Optimization Technique for Multicurrency Bond Portfolios 1427
Risk Management and Additional Tools 1432
Performance Measurement and Attribution 1438
Key Points 1445
Chapter 58
Factor Investing in Sovereign Bond Markets 1447
Frank Fabozzi, Jean-Michel Maeso, Lionel Martellini, and Riccardo Rebonato
Problems with Existing Bond Benchmarks 1448
Benefits and Pitfalls of Factor Investing in Fixed-Income Markets 1448
Taxonomy of Fixed Income Factors 1450
Level and Slope Factors in Sovereign Bond Markets 1452
Value Factor 1458
Momentum Factor 1462
Key Points 1465
Chapter 59
Hedge Fund Fixed Income Strategies 1467
Ellen Rachlin, Chris P. Dialynas, and Vineer Bhansali
Macro Investing 1467
Understanding the Components of the Statistics 1469
Big Changes Are Very Important 1470
The Yield Curve 1470
Political Self-Interest Versus Interest of the Sovereign 1472
Asset-Backed Credit Strategy 1474
Capital Structure Arbitrage 1475
Long/Short Credit Strategy 1477
Distressed Debt 1478
Basis Trading 1480
Volatility Trading 1481
Cross-Currency Arbitrage 1483
Key Points 1483
Chapter 60
Financing Positions in the Bond Market 1485
Frank J. Fabozzi and Steven V. Mann
Repurchase Agreement 1485
Dollar Rolls 1489
Margin Buying 1490
Securities Lending 1491
Key Points 1493
PART NINE
DERIVATIVE INSTRUMENTS AND
THEIR APPLICATIONS
Chapter 61
Introduction to Interest-Rate Futures and Options Contracts 1497
Frank J. Fabozzi, Steven V. Mann, and Adam Kobor
Basic Characteristics of Futures Contracts 1497
Basic Characteristics of Forward Contracts 1498
Basic Characteristics of Option Contracts 1499
Differences Between Options and Futures (Forward) Contracts 1500
Representative Exchange-Traded Interest-Rate Futures Contracts 1500
Mechanics of Futures Trading 1511
Representative Exchange-Traded Futures Options Contracts 1514
OTC Contracts 1518
Key Points 1523
Chapter 62
Pricing Futures and Portfolio Applications 1525
Frank J. Fabozzi
Pricing of Futures Contracts 1525
Applications to Portfolio Management 1533
Portable Alpha 1536
Key Points 1538
Chapter 63
Controlling Interest-Rate Risk with Futures and Options 1539
Frank J. Fabozzi and Shrikant Ramamurthy
Controlling Interest-Rate Risk with Futures 1539
Hedging with Options 1558
Key Points 1572
Chapter 64
Interest-Rate Swaps 1575
Anand K. Bhattacharya, Frank J. Fabozzi, and Bill Berliner
Interest-Rate Swaps 1575
Features of a Generic Swap 1576
Interpreting a Swap Position 1577
Terminology, Conventions, and Market Quotes 1579
Applications 1581
Dollar Duration of a Swap 1584
Innovations in Swap Markets 1585
Asset Swap 1590
Termination of Interest-Rate Swaps 1591
Key Points 1592
Chapter 65
The Valuation of Interest-Rate Swaps and Swaptions 1595
Gerald W. Buetow, Jr. and Brian J. Henderson
Swap Valuation Using the Lattice Approach 1596
Forward Start Swaps 1602
Valuing Swaptions 1606
Valuing Basis Swaps and Non-LIBOR-Based Swaps 1611
Factors Affecting Swap Valuation 1614
Key Points 1616
Chapter 66
The Basics of Interest-Rate Options 1617
William J. Gartland and Nicholas C. Letica
How Options Work 1617
Options Strategies—Reorganizing the Profit/Loss Graph 1630
Classic Option Strategies 1631
Practical Portfolio Strategies 1634
Volatility 1637
Key Points 1639
Chapter 67
Interest-Rate Caps and Floors 1641
Anand K. Bhattacharya and Bill Berliner
Features of Interest-Rate Caps and Floors 1642
Pricing of Caps and Floors 1642
Interest-Rate Caps 1643
Participating Caps 1646
Interest-Rate Floors 1649
Interest-Rate Collars 1650
Interest-Rate Corridors 1652
Cap/Floor Parity 1653
Termination of Caps and Floors 1654
Key Points 1655
Chapter 68
Credit Derivatives 1657
Dominic O’Kane
Evolution of the Credit Derivatives Market 1657
The Credit Default Swap 1662
CDS Mechanics 1663
Credit Events 1667
The CDS Settlement Timeline 1670
CDS Indices 1678
Importance of the CDS Market 1681
Key Points 1682
Chapter 69
Credit Derivative Valuation and Risk 1685
Dominic O’Kane
CDS Valuation 1685
The CDS–Bond Relationship 1687
Model 1692
New and Existing Contracts 1698
Risk Management 1699
CDS Index Valuation 1705
Key Points 1708
PART TEN
PERFORMANCE ATTRIBUTION ANALYSIS
Chapter 70
Principles of Performance Attribution 1711
Barclays
Principles of Performance Attribution 1711
Mathematics of Performance Attribution 1715
Applications of Performance Attribution 1722
Key Points 1744
Chapter 71
Performance Attribution for Portfolios of Fixed Income Securities 1747
Barclays
Return Splitting 1748
Outperformance Breakdown 1757
Total Return Model 1758
Excess Return Model 1764
Fully Analytical Model 1773
Selecting an Appropriate Attribution Model 1785
Key Points 1786
Chapter 72
Advanced Topics in Performance Attribution 1787
Barclays
Multicurrency Attribution 1787
Derivatives and Leverage 1804
From Theory to Practice 1811
Key Points 1815
Index 1817