A Simplified Fixed Income Performance Attribution Model

$25.00

The authors present a new fixed income performance attribution model. It takes elements from a number existing approaches and puts them together in a way that provides a intuitive, global output that can be applied across fixed income asset types. Its use of returns, rather than yields and its hierarchical approach simplify the implementation of the model with out loss of portfolio insights.

Peter Simons, CloudAttribution
Anton Karadakov, CloudAttribution

The authors present a new fixed income performance attribution model. It takes elements from a number existing approaches and puts them together in a way that provides a intuitive, global output that can be applied across fixed income asset types. Its use of returns, rather than yields and its hierarchical approach simplify the implementation of the model with out loss of portfolio insights.

Peter Simons, CloudAttribution
Anton Karadakov, CloudAttribution

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