Yield Curve Decomposition and Fixed-income Attribution

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Fixed-income attribution has been one of the key challenges for performance measurement professionals for some time; though there has been extensive research into differing methodologies, there is still no agreed industry standard.  Fixed-income attribution cannot be implemented simply by adapting an equity model because the investment process for fixed-income portfolios differs significantly from that for equity portfolios.

Authors: Zoubair Esseghaier, Tilak Lal, Peter Cai, and Phil Hannay

Fixed-income attribution has been one of the key challenges for performance measurement professionals for some time; though there has been extensive research into differing methodologies, there is still no agreed industry standard.  Fixed-income attribution cannot be implemented simply by adapting an equity model because the investment process for fixed-income portfolios differs significantly from that for equity portfolios.  To understand the performance, fixed-income portfolio managers need to understand how much performance is due to holding period; the effect of different changes in yield curve: parallel, twist, butterfly, and other shape changes; as well as quality and currency impacts.

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