As you’re probably aware, arithmetic attribution results in subperiod effects which are linking challenged; that is, if we attempt to link these subperiod (e.g., monthly) results to obtain longer (e.g., annual) period results, using, for example, simple geometric linking (as we use with returns), the results won’t reconcile to the longer period excess return: a residual typically results [geez! what a sentence!]. As a result, several individuals (e.g., Jose Menchero, David Cariño, and Andrew Frongello) developed models which eliminate the residuals. These models are typically demonstrated with one of the Brinson (i.e., Brinson-Hood-Beebower and Brinson-Fachler) models.

But what if you’re doing fixed income attribution and using, for example, the Campisi model: how do we link these subperiod results?

Answer: the same as we would with equity attribution; that is, use one of the linking models. Special models aren’t required to make this work.