Measuring Investment Returns of Portfolios Containing Derivatives: Part II – Performance Attribution

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Author: John C. Stannard

Measuring Investment Returns of Portfolios Containing Derivatives: Part II – Performance Attribution. The author continues his discussion of performance…

The author continues his discussion of performance measurement among portfolios with derivatives, this time demonstrating how the framework set out in Part I (The Journal, Fall 1996) can be used as the basis for performance attribution. The reader will gain a method for quantifying the return impact of investment decisions.

 

Measuring Investment Returns of Portfolios Containing Derivatives: Part II - Performance Attribution

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