Performance Perspectives Blog

Fixed Income Attribution…still a “hot” topic

by | Jul 13, 2009

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 hottest topic in performance measurement,” and we believe this is still fairly accurate. But more specifically, fixed income attribution is critically important and “hot.” But why does it need a whole week of webinars?

We want to provide those interested in this topic the opportunity to really delve into it, in a way that isn’t overly burdensome but that will also provide some great insights. We will have five days of five different models presented. Unlike equity attribution which is somewhat dominated by the “Brinson” models, there is no “Brinson-equivalent” in the world of fixed income. That is, there is no single model which is available from virtually every software vendor. While some of us expect this to happen at some point, it hasn’t yet. And so, it’s worth understanding some of the differences between the models. There are more than five models so we will have a similar session in the Fall.

Fixed income needs its own model. Why? Because attribution is supposed to assess how the manager’s decisions impact their performance. And since fixed income managers tend to manage quite differently than equity managers, they deserve a model that is sensitive to their approach. And not all fixed income managers manage in the same way, so there’s a need for some flexibility here, too.

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