Papers

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Papers on attribution available for download

An overview of FIA A short document describing FIA and its capabilities

The model T of investment analytics Why the market for investment analytics is in the pre-Ford Model T stage. By Andrew Colin, Performance Measurement Review, 2009

Attribution and risk adjusted performance metrics A white paper on how to combine Value at Risk (VaR) and attribution analysis to measure risk on attribution returns

Fixed income attribution- fringe science or critical application? An industry report on the need for fixed income attribution. By Matthew Nelson, Tower Group

Flying blind How benchmark standardisation has bypassed the investment world. By Andrew Colin, Funds Europe, 2005

Taking the random route Why not all benchmarks are equally challenging to outperform. By Andrew Colin, Buy Side Technology, November 2007

How accurate does attribution need to be? Are you putting more time and effort into attribution analysis than it needs? By Andrew Colin, Performance Measurement Review, 2009

A Brinson model alternative: an equity attribution model with orthogonal risk contributions Equity attribution without an interaction term. By Andrew Colin, Journal of Performance Measurement, vol 12, no. 1

A new approach to the decomposition of yield curve movements for fixed income attribution Measuring a yield curve's twist and shift movements without resorting to principal component analysis. By Andrew Colin, Mathieu Cubilie, Frederic Bardoux, Journal of Performance Measurement, vol 10, no. 4

Fixed income attribution with minimum raw material First-principles or risk-number driven fixed income attribution? This article proposes a third way. By Andrew Colin, Journal of Performance Measurement, vol 11, no. 2

A generalized hybrid fixed income attribution model. By Andrew Colin and Katalin Kiss.

Chapter 5: Smoothing algorithms. A sample chapter from Andrew Colin's book, 'Mastering Attribution in Finance (FT Publishing/Pearsons)', 2015

Running attribution on credit portfolios with DTS. A white paper on how DTS works and how to use it in FIA

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