Mastering Attribution in Finance

Preface

‘Begin at the beginning,’ the King said gravely, ‘and go on till you come to the end: then stop.’

Lewis Carroll, Alice in Wonderland

The purpose of this book is to provide a comprehensive, up-to-date account of how attribution is used in the equity and fixed income markets. My specific aims are:

• to present a structured overview of the field at all levels, including unpublished or difficult to find material that should be part of every attribution analyst’s toolset;
• to provide a fresh, accessible introduction to the ideas behind performance and attribution. Relatively little material is available for newcomers to this field. While I have tried not to compromise on the required mathematics, I hope that the book also conveys insight into ...