A Sector Based Approach to Fixed Income Performance Attribution

$25.00

Fixed income requires a unique approach to attribution since much of its return is driven by structural risk factors that are specific to the bond market.  The challenge in terms of performance attribution is to create a robust model that evaluates the investment process fairly without introducing too much complexity.

Author: Stephen Campisi, CFA, Intuitive Performance Solutions

Fixed income requires a unique approach to attribution since much of its return is driven by structural risk factors that are specific to the bond market.  The challenge in terms of performance attribution is to create a robust model that evaluates the investment process fairly without introducing too much complexity.  Otherwise, the results may be meaningless to clients who may get lost in the details while missing the key performance messages.  To develop the right performance model we need to answer a few questions:  Which structural factors should be included?  How can we leverage the existing performance attribution methodologies where they are appropriate.  And how can we balance simplicity, clarity and understandability with rigor and accuracy?

Reviews

There are no reviews yet.

Only logged in customers who have purchased this product may leave a review.

Free Subscription!

The Journal of Performance Measurement

The Performance Measurement Resource.

Click to Subscribe