by admin | Nov 18, 2009 | attribution, fixed income attribution
At last week’s Performance Measurement Forum meeting in Rome we briefly discussed the issue of “pricing effects.” That is, the effect that can arise when your portfolio’s prices don’t match what’s in the index. Recall that we...
by admin | Nov 7, 2009 | attribution, fixed income attribution
In spite of this year’s market downturn, TSG’s upcoming Trends in Attribution Symposium (TIA) will have a very good turnout. We’re obviously quite pleased by this. With roughly two weeks to go there’s still time to be a part of this event....
by admin | Nov 4, 2009 | attribution, fixed income attribution
We recently met with a client for whom we’re designing a fixed income attribution system. During our meeting the subject of the “pricing” or “price difference” effect came up. This effect identifies the impact when the portfolio and...
by admin | Sep 8, 2009 | attribution, fixed income attribution
From an equity perspective most practitioners are familiar with the allocation, selection, and interaction effects, while from a fixed income perspective they’re familiar with the treasury (aka duration or yield curve management), spread, income, parallel,...
by admin | Jul 13, 2009 | attribution, fixed income attribution
This week is dedicated exclusively to fixed income attribution. Okay, maybe not everything about the week will be dedicated to fixed income attribution, but we will have a webinar every day on this topic.For some time we’ve said that “attribution is the...
