Fixed Income Attribution – Toward a Generic Model? Part 2

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Fixed Income Attribution – Toward a Generic Model? Part 2
Paul Giles, Teachins

Part 1 of this article was the first known attempt to categorize and compare across implemented FIA models using a common dataset. The objective was to see if a “Generic” Model could be defined for FIA in the same way that Brinson has become one for Equity Attribution. No “Generic Model” exists for fixed income attribution. Instead, different academics working alone or with software suppliers have, historically, individually designed models. Part 1 identified significant commonality as well as differences across the four models compared. Two years on, Part 2 adds a further three models to the analysis, seeking through the increased number to confirm the Part 1 commonality identified and, with the passage of time, detect any new commonality and/or reporting trends.

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