Performance Attribution Methodologies: New Returns-based Attribution and Factor-based Attribution w

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Performance attribution is one of the most challenging analyses to produce for fixed income portfolios, and different areas of the fixed income market define attribution in different ways. This paper describes two types of attribution analyses for fixed income portfolios, referred to as the Returns-based and Factor-based methods.

Author: Teri Geske

Performance attribution is one of the most challenging analyses to produce for fixed income portfolios, and different areas of the fixed income market define attribution in different ways. This paper describes two types of attribution analyses for fixed income portfolios, referred to as the Returns-based and Factor-based methods.

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