The Attribution of Portfolio and Index Returns in Fixed Income
Author: Timothy J. Lord
The author Thimothy J. Lord, has constructed a method for determining the attribution of a holding in terms of a duration-matched Treasury, or DMT (Fixed Income). In his model, each bond in the group is linked to a DMT, which forms the basis for computing duration and spread returns and identify components of price return. But there is much more, as you'll see...