This paper proposes an approximated approach to capture the true carry return.  The carry return, or passive return, is a significant factor of the total return of fixed income securities and gains further significance when the yield curve is normal or, upward sloping.  Typical fixed income return decompositions attempt to include the carry return, but it is usually inadequately approximated by coupon return or yield, or omitted entirely due to the difficulty of isolating the return component due only to the passage of time.  The proposed approach yields an accurate and detailed security performance decomposition which can then be used as input for a more complete and accurate fixed income attribution analysis.

Fixed Income Attribution with Carry Effect