Readings in Fixed Income Performance Attribution

Description

What makes fixed income performance attribution such a hot topic? Is it the importance of the asset class? The bond market dominates the stock market, in terms of both investment capital and the number of issues in the market. Unlike stocks, which are only issues by public companies, bonds are issues by both public and private companies, as well as by all sectors of the government: federal, state, and local. And, as one of our commentators mentions, bonds are born and they die (actually they mature with the passage of time – as the old joke goes, this is Yes for bonds but not for bond portfolio managers!). Therefore, the bond market is a dynamic one, with a new issue market that is much more active than the stock market…

 

 

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Table of Contents

Preface . . . . . . . . . . . . . . . . ix

 

Summaries . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  xi

 

Author Biographies . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . xv

 

Chapter 1 An Overview of Fixed Income Attribution

                          David Spaulding. . . . . . . . . . . . . . . . . . . .  1

 

Chapter 2 Primer on Fixed Income Performance Attribution

                        Stephen Campisi. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9

 

Chapter 3 Fixed Income Indexes: Benchmarks for that Other Asset Class

                        Steven D. Berkley  . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29

 

Chapter 4 Fixed Income Attribution: A Unified Framework

                        Bernard Murira and Hector F. Sierra . . . . . . . . . . . . . . . . . . . . .39

 

Chapter 5 Bond Performance: Analyzing Sources of Return

                        Gifford Fong, Charles Pearson, and Oldrich Vasicek  . . . . . . . . 75

 

Chapter 6 Fixed Income Attribution

                        Gerard van Breukelen . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 85

 

Chapter 7 Thinking Through Fixed Income Attribution:

                  Reflections from a Group of French Practitioners

                        Claude Giguére . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 97

 

Chapter 8 The Attribution of Portfolio and Index Returns in Fixed Income

                        Timothy J. Lord   . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 125

 

Chapter 9 Fixed Income Attribution Model

                        Mathieu Cubilié  . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 145   

 

Chapter 10 Yield Curve Decomposition and Fixed Income Attribution

                        Zoubair Essenghaier, Tilak Lal, Peter Cai,

                         and Phil Hannay . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .169

 

Chapter 11 Fixed Income Portfolio Management: Risk Modeling, Portfolio

Construction and Performance Attribution

                        Srichander Ramaswamy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 193

 

Chapter 12 An OAS Framework for Portfolio Attribution Analysis

                        William Burns and Wensong Chu. . . . . . . . . . . . . . . . . . . . . . . . . . 213 

 

Chapter 13 Performance Attribution within BlackRock Solutions:

                     A Focus on Data Integrity, Measuring Risk Exposures and

                     Process Modeling

                        Christopher Fisher and Vesselin Vassilev. . . . . . . . . . . . . . . . . . . . 229

 

Chapter 14 A Framework for Multiple Currency Fixed Income Attribution

                        Andrew McLaren. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 259

 

Chapter 15 Returns-Based Attribution Analysis for

                    Municipal Bond Portfolios

                        Cadmus Hicks. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .289