Fixed Income Attribution: A Combined Methodology

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Performance attribution reporting has been a major step for the asset management industry. Many different methodologies have been defined for the performance attribution of equities portfolios, however no concensus has been reached for the analysis of fixed income portfolios.

Author: Phillippe Gillet, Ph.D., and Bernard Hommolie

Performance attribution reporting has been a major step for the asset management industry. Many different methodologies have been defined for the performance attribution of equities portfolios, however no concensus has been reached for the analysis of fixed income portfolios.

 

Fixed Income Attribution: A Combined Methodology

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