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Performance Evaluation and Attribution of Security Portfolios by Russ Wermers, Bernd R. Fischer

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Chapter 15

Attribution Analysis with Derivatives

Abstract

A delineation of common methodologies in the field of attribution analysis would be incomplete without a discussion of the role of derivatives in the steering of investment portfolios. Due to the immense number of different types of derivative, we focus on the most basic instruments. These include interest rate futures, certain swaps, futures, and options on single stocks and stock indices. Furthermore currency forward contracts will be considered, which are essential in the steering of currency risk. The methodologies described for these instrument types may be adopted for the analysis of other derivatives.

The starting point is the Brinson-type attribution analysis described in Chapters ...

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