The Attribution of Portfolio and Index Returns in Fixed Income

$25

Author: Timothy J. Lord

The author Thimothy J. Lord, has constructed a method for determining the attribution of a holding in terms of a duration-matched Treasury, or DMT (Fixed Income). In his model, each bond in the group is linked to a DMT, which forms the basis for computing duration and spread returns and identify components of price return. But there is much more, as you'll see...

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The Journal of Performance Measurement

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