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The Journal of Derivatives
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The Journal of Derivatives

The Journal of Derivatives

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Handling the Use of Derivatives in Performance Attribution

Bruce J. Feibel
The Journal of Derivatives Derivatives in Asset Management 2022, jod.2022.1.154; DOI: https://doi.org/10.3905/jod.2022.1.154
Bruce J. Feibel
is a senior vice president at State Street in Boston, MA
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Abstract

In this article, the author demonstrates methods for processing derivatives exposures that are beneficial to investment portfolio performance and that accurately reflect the portfolio managers’ objectives. The article will help the reader evaluate the success of portfolio management decisions.

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The Journal of Derivatives: 30 (3)
The Journal of Derivatives
Vol. 30, Issue 3
Spring 2023
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Handling the Use of Derivatives in Performance Attribution
Bruce J. Feibel
The Journal of Derivatives Apr 2022, jod.2022.1.154; DOI: 10.3905/jod.2022.1.154

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Handling the Use of Derivatives in Performance Attribution
Bruce J. Feibel
The Journal of Derivatives Apr 2022, jod.2022.1.154; DOI: 10.3905/jod.2022.1.154
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    • Abstract
    • VALUE-ADDED DECOMPOSITION
    • PROBLEMS ANALYZING VALUE ADDED WHEN DERIVATIVES ARE USED
    • FUTURES
    • CURRENCY FORWARD CONTRACTS
    • SWAPS
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