Residuals on Duration-based Fixed Income Attribution

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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.

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.

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