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Campisi’s Index Portfolio Explained

Posted by admin - April 9, 2013 - bond mathematics, Campisi model, CIPM, CIPM Exam Tips & Tricks, CIPM expert, duration, fixed income attribution, performance attribution

A common question I get is what is the purpose of the “index portfolio” used in the Campisi fixed income attribution model. Before answering, let me first give an outline of the steps in calculating attribution in the Campisi framework. Step 1: Decompose the benchmark return1.1 Calculate the contribution of income to the benchmark return1.2 […]

Decomposing the Campisi Fixed Income Attribution Model

Posted by admin - August 24, 2012 - bond mathematics, Campisi model, CIPM, CIPM Exam Tips & Tricks, CIPM expert, fixed income attribution, performance attribution, performance measurement

For many CIPM Expert Level candidates, fixed income attribution is the most difficult topic. This is evident when I teach The Spaulding Group’s CIPM prep classes, as we devote an entire afternoon to the subject. Among the three models that candidates are required to learn is the Campisi model, which is based around the idea […]