$25.00
Residuals on Duration-based Fixed Income Attribution
João Sousa Dias, Eagle Investment Systems
Fixed income attribution is one of the fastest growing areas of focus for investment managers as they look to understand and explain the drivers of performance. There are several challenges in obtaining meaningful and accurate results, but residuals, often due to poor data quality, remain one of the biggest barriers. In this article, I will discuss the different approaches to fixed income attribution, and how residual management practices can streamline the process of calculating fixed income attribution and increase the accuracy of its results.
Description
Residuals on Duration-based Fixed Income Attribution
João Sousa Dias, Eagle Investment Systems
Fixed income attribution is one of the fastest growing areas of focus for investment managers as they look to understand and explain the drivers of performance. There are several challenges in obtaining meaningful and accurate results, but residuals, often due to poor data quality, remain one of the biggest barriers. In this article, I will discuss the different approaches to fixed income attribution, and how residual management practices can streamline the process of calculating fixed income attribution and increase the accuracy of its results.
Related products
-
A Framework for Evaluating Hedge Fund Risk
$25.00 Add to cart -
A Comparison of GIPS and the AIMR-PPS
$5.00 Add to cart -
A Conceptual Framework for the Development and Verification of Attribution Models
$25.00 Add to cart -
A Case for Fixed Income Holdings-Based Attribution: Techniques for Achieving Cleaner Results
$25.00 Add to cart