Readings in Fixed Income Performance Attribution
$75
Edited by Stephen Campisi, CFA and David Spaulding, CIPM, this compilation of articles on fixed income attribution is a “must have” for every performance measurement professional.
What makes fixed income performance attribution such a hot topic? Is it the importance of the asset class? The bond market dominates the stock market, in terms of both investment capital and the number of issues in the market. Unlike stocks, which are only issues by public companies, bonds are issues by both public and private companies, as well as by all sectors of the government: federal, state, and local. And, as one of our commentators mentions, bonds are born and they die (actually they mature with the passage of time - as the old joke goes, this is Yes for bonds but not for bond portfolio managers!). Therefore, the bond market is a dynamic one, with a new issue market that is much more active than the stock market...
Table of Contents
Preface . . . . . . . . . . . . . . . . ix
Summaries . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . xi
Author Biographies . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . xv
Chapter 1 An Overview of Fixed Income Attribution
David Spaulding. . . . . . . . . . . . . . . . . . . . 1
Chapter 2 Primer on Fixed Income Performance Attribution
Stephen Campisi. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
Chapter 3 Fixed Income Indexes: Benchmarks for that Other Asset Class
Steven D. Berkley . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29
Chapter 4 Fixed Income Attribution: A Unified Framework
Bernard Murira and Hector F. Sierra . . . . . . . . . . . . . . . . . . . . .39
Chapter 5 Bond Performance: Analyzing Sources of Return
Gifford Fong, Charles Pearson, and Oldrich Vasicek . . . . . . . . 75
Chapter 6 Fixed Income Attribution
Gerard van Breukelen . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 85
Chapter 7 Thinking Through Fixed Income Attribution:
Reflections from a Group of French Practitioners
Claude Giguére . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 97
Chapter 8 The Attribution of Portfolio and Index Returns in Fixed Income
Timothy J. Lord . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 125
Chapter 9 Fixed Income Attribution Model
Mathieu Cubilié . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 145
Chapter 10 Yield Curve Decomposition and Fixed Income Attribution
Zoubair Essenghaier, Tilak Lal, Peter Cai,
and Phil Hannay . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .169
Chapter 11 Fixed Income Portfolio Management: Risk Modeling, Portfolio
Construction and Performance Attribution
Srichander Ramaswamy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 193
Chapter 12 An OAS Framework for Portfolio Attribution Analysis
William Burns and Wensong Chu. . . . . . . . . . . . . . . . . . . . . . . . . . 213
Chapter 13 Performance Attribution within BlackRock Solutions:
A Focus on Data Integrity, Measuring Risk Exposures and
Process Modeling
Christopher Fisher and Vesselin Vassilev. . . . . . . . . . . . . . . . . . . . 229
Chapter 14 A Framework for Multiple Currency Fixed Income Attribution
Andrew McLaren. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 259
Chapter 15 Returns-Based Attribution Analysis for
Municipal Bond Portfolios
Cadmus Hicks. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .289
