Fixed Income Attribution: A Flexible Approach

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This paper presents a flexible method for calculating fixed income performance attribution. The method is based on identifying the basic fixed income sources of return and combining these flexibly to encapsulate a range of different fixed income performance attribution formulations. This method can be combined with standard linking methodologies, whereby an intuitive framework for linking the fixed income attribution across multiple periods is achieved.

Author: Lars bjerre Hansen, SimCorp; Per Sogaard-Anderson, Ph.D, SAMPENSION

This paper presents a flexible method for calculating fixed income performance attribution. The method is based on identifying the basic fixed income sources of return and combining these flexibly to encapsulate a range of different fixed income performance attribution formulations. This method can be combined with standard linking methodologies, whereby an intuitive framework for linking the fixed income attribution across multiple periods is achieved.

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The Journal of Performance Measurement

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