Fixed Income Attribution [Hardcover]

Fixed income attribution is by its very nature a complex and mathematically demanding topic, and there is little information available on this area. Fixed Income Attribution has been written to fill this tremendous void. This comprehensive resource contains both theoretical and practical information about running and understanding fixed income attribution, including the mathematics of attribution, practical limitations, benchmarks, presentation tools, and choosing and running an attribution system. Filled with insightful examples and expert advice, Fixed Income Attribution is the perfect source of information for those working in this complex environment.

Preface xiii

Acknowledgements xv

A Note on Notation xvii

PART I: CONCEPTS OF ATTRIBUTION 1

1 Attribution in the Investment Process 3

1.1 Introduction 3

1.2 The problem 3

1.3 Adding value to portfolios 4

1.4 Skill in investment 5

1.5 Picking the good from the bad 5

1.6 Insight from attribution 6

1.7 Example 7

1.8 Living without attribution 8

1.9 Why is attribution difficult? 9

1.10 What does this book not cover? 9

1.11 What are we aiming for? 9

2 Calculation of Returns 11

2.1 Introduction 11

2.2 Getting it right 11

2.3 Rate of return 12

2.4 Linking performance over multiple intervals 12

2.5 Performance of single securities in the presence of cash flows 12

2.6 Performance of portfolios without cash flows 13

2.7 Performance of portfolios with cash flows 13

2.8 Portfoliolc‘