In the first part of this article that was published in the Fall issue of this Journal, the authors discussed a framework for performance attribution. They discussed a generic “top-down” investment process that should fit most fixed income investment strategies. Because each institution is unique in its investment process, performance attribution needs to be tailored to fit the investment process of each. In this second part of the paper, the authors discuss the allocation model, as well as some practical issues related to the attribution process, and present their conclusions.

Fixed Income Attribution: a Unified Framework – Part 2