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- Fixed-income_attribution abstract "Fixed-income attribution refers to the process of measuring returns generated by various sources of risk in a fixed income portfolio, particularly when multiple sources of return are active at the same time. For example, the risks affecting the return of a bond portfolio include the overall level of the yield curve, the slope of the yield curve, and the credit spreads of the bonds in the portfolio. A portfolio manager may hold firm views on the ways in which these factors will change in the near future, so in three separate risk decisions he positions the assets in the portfolio to take advantage of the expected forthcoming market movements. If all views subsequently prove to be correct, then each decision will generate a profit. If one view is wrong, it will generate a loss, but the effect of the other bets may compensate. The overall performance will then be the sum of the performance contributions from each source of risk. Attribution is therefore an extremely useful tool in verifying a fund manager’s claims to possessing particular investment skills. If a fund is marketed as being interest-rate neutral while providing consistent returns from superior credit research, then an attribution report will confirm this claim. Conversely, if the attribution report shows that this same manager is making non-zero returns from interest rate movements, then his exposure to interest rate risk is clearly not zero and his investment process clearly differs from his stated position.Fixed-income attribution therefore provides a much deeper level of information than is available from a simple portfolio performance report. Typically, such a report only shows returns at an aggregated level, and provides no feedback as to where the investor’s true skills lie. For these reasons, fixed-income attribution is rapidly growing in importance in the investment industry.".
- Fixed-income_attribution wikiPageExternalLink v60y1987i4p473-89.html.
- Fixed-income_attribution wikiPageExternalLink 579.html.
- Fixed-income_attribution wikiPageExternalLink tr84.pdf.
- Fixed-income_attribution wikiPageExternalLink jfi.1992.408049.
- Fixed-income_attribution wikiPageExternalLink Diebold-Li.pdf.
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- Fixed-income_attribution wikiPageRevisionID "682238283".
- Fixed-income_attribution wikiPageWikiLink Algorithm.
- Fixed-income_attribution wikiPageWikiLink Bank_of_Canada.
- Fixed-income_attribution wikiPageWikiLink Bond_(finance).
- Fixed-income_attribution wikiPageWikiLink Bond_convexity.
- Fixed-income_attribution wikiPageWikiLink Bootstrapping_(finance).
- Fixed-income_attribution wikiPageWikiLink Carl_Bacon.
- Fixed-income_attribution wikiPageWikiLink Category:Fixed_income_market.
- Fixed-income_attribution wikiPageWikiLink Collateralized_debt_obligation.
- Fixed-income_attribution wikiPageWikiLink Covariance_matrix.
- Fixed-income_attribution wikiPageWikiLink Discounted_cash_flow.
- Fixed-income_attribution wikiPageWikiLink Eigenvalue.
- Fixed-income_attribution wikiPageWikiLink Eigenvalues_and_eigenvectors.
- Fixed-income_attribution wikiPageWikiLink Eigenvector.
- Fixed-income_attribution wikiPageWikiLink Extrapolation.
- Fixed-income_attribution wikiPageWikiLink Factor_model.
- Fixed-income_attribution wikiPageWikiLink Fixed-income_attribution.
- Fixed-income_attribution wikiPageWikiLink Higher-order_terms.
- Fixed-income_attribution wikiPageWikiLink Institute_for_International_Economic_Studies.
- Fixed-income_attribution wikiPageWikiLink Interpolation.
- Fixed-income_attribution wikiPageWikiLink Journal_of_Econometrics.
- Fixed-income_attribution wikiPageWikiLink Journal_of_Fixed_Income.
- Fixed-income_attribution wikiPageWikiLink Least-squares.
- Fixed-income_attribution wikiPageWikiLink Least_squares.
- Fixed-income_attribution wikiPageWikiLink Monotonic.
- Fixed-income_attribution wikiPageWikiLink Monotonic_function.
- Fixed-income_attribution wikiPageWikiLink Nelson-Siegel.
- Fixed-income_attribution wikiPageWikiLink Option-adjusted_spread.
- Fixed-income_attribution wikiPageWikiLink Orthogonal.
- Fixed-income_attribution wikiPageWikiLink Orthogonality.
- Fixed-income_attribution wikiPageWikiLink Parameter.
- Fixed-income_attribution wikiPageWikiLink Perturbation_theory.
- Fixed-income_attribution wikiPageWikiLink Polynomial.
- Fixed-income_attribution wikiPageWikiLink Polynomial_function.
- Fixed-income_attribution wikiPageWikiLink Portfolio_(finance).
- Fixed-income_attribution wikiPageWikiLink Risk.
- Fixed-income_attribution wikiPageWikiLink The_Journal_of_Fixed_Income.
- Fixed-income_attribution wikiPageWikiLink Thomas_Ho_(finance).
- Fixed-income_attribution wikiPageWikiLink Yield_curve.
- Fixed-income_attribution wikiPageWikiLink Yield_to_maturity.
- Fixed-income_attribution wikiPageWikiLinkText "Fixed-income attribution #Modeling the yield curve".
- Fixed-income_attribution wikiPageWikiLinkText "Fixed-income attribution".
- Fixed-income_attribution wikiPageWikiLinkText "Fixed-income attribution#Key rate durations".
- Fixed-income_attribution wikiPageWikiLinkText "Fixed-income attribution#Modeling the yield curve".
- Fixed-income_attribution hasPhotoCollection Fixed-income_attribution.
- Fixed-income_attribution wikiPageUsesTemplate Template:Refimprove.
- Fixed-income_attribution subject Category:Fixed_income_market.
- Fixed-income_attribution type Article.
- Fixed-income_attribution type Article.
- Fixed-income_attribution type Market.
- Fixed-income_attribution comment "Fixed-income attribution refers to the process of measuring returns generated by various sources of risk in a fixed income portfolio, particularly when multiple sources of return are active at the same time. For example, the risks affecting the return of a bond portfolio include the overall level of the yield curve, the slope of the yield curve, and the credit spreads of the bonds in the portfolio.".
- Fixed-income_attribution label "Fixed-income attribution".
- Fixed-income_attribution sameAs m.027hb2v.
- Fixed-income_attribution sameAs Q5456319.
- Fixed-income_attribution sameAs Q5456319.
- Fixed-income_attribution wasDerivedFrom Fixed-income_attribution?oldid=682238283.
- Fixed-income_attribution isPrimaryTopicOf Fixed-income_attribution.