Fixed Income Performance Attribution

64 Pages Posted: 3 Jun 2010 Last revised: 9 Jun 2010

See all articles by Stéphane Daul

Stéphane Daul

Pictet Asset Management; affiliation not provided to SSRN

Nicholas Sharp

RiskMetrics Group

Lars Qvigstad Sørensen

Norwegian School of Economics (NHH) - Department of Finance; RiskMetrics Group

Date Written: May 1, 2010

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

Suggested Citation

Daul, Stéphane and Daul, Stéphane and Sharp, Nicholas and Sørensen, Lars Qvigstad, Fixed Income Performance Attribution (May 1, 2010). Available at SSRN: https://ssrn.com/abstract=1619185 or http://dx.doi.org/10.2139/ssrn.1619185

Stéphane Daul (Contact Author)

Pictet Asset Management ( email )

Geneva
Switzerland

affiliation not provided to SSRN

Nicholas Sharp

RiskMetrics Group ( email )

1 Chase Manhattan Plaza
New York, NY
United States

Lars Qvigstad Sørensen

Norwegian School of Economics (NHH) - Department of Finance ( email )

Helleveien 30
N-5045 Bergen
Norway

RiskMetrics Group ( email )

1 Chase Manhattan Plaza
New York, NY
United States

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