Fixed Income Performance Attribution
64 Pages Posted: 3 Jun 2010 Last revised: 9 Jun 2010
Date Written: May 1, 2010
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
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