Fixed Income Attribution: Analyzing Sources of Return

Date created
This paper investigates several methods of analyzing performance of bond portfolios and presents an empirical framework for conducting fixed income attribution calibrated to a particular portfolio. First, we discuss characteristic of fixed income portfolio management and explain some of the challenges for attribution reporting. Our primary focus is on depicting deficiencies in methodologies when measuring shift, twist, butterfly movements, and credit spread changes in a nonsmooth yield curve environment. In our empirical example, we present a systematic approach to fixed income performance measurement. We also show that attribution results are consistent with manager’s strategy and changes in the interest rate environment.
FRM Project-Simon Fraser University
Copyright statement
Copyright is held by the author(s).
Scholarly level
Peer reviewed?
Attachment Size
FRM 2010 Melnikov, A. Simic, S..pdf 762.83 KB