Fixed Income Performance Attribution

Abstract

Fixed-income managers need specialized attribution models that for example incorporate all the effects of yield-curve movements. The route is the factor based approach, where the performance of all securities is first decomposed using systematic factors and then aggregated. We consider a configurable, extendable hybrid approach to fixed-income performance attribution where attribution is decomposed into many fixed-income factors as well as simultaneously carrying out an asset-grouping approach to performance attribution where necessary.

Keywords: Fixed income factor model, performance attribution