{"title":"Fixed Income Performance Attribution: An Objective Methodology","authors":"Stanley J. Kon","doi":"10.3905/jfi.2022.1.143","DOIUrl":null,"url":null,"abstract":"This empirical performance attribution methodology provides an objective alternative to the existing practice of employing proprietary model–dependent systems with portfolio composition information. With only a time series of portfolio returns, this methodology detects multidimensional risk exposures, whether intended or unintended. The results allow for comparison of styles, risk exposures, and sources of performance across managers. Furthermore, as part of a well-designed internal investment process, this independent attribution methodology delivers a feedback mechanism for identifying systematic biases in analytical models that need correction.","PeriodicalId":53711,"journal":{"name":"Journal of Fixed Income","volume":"32 1","pages":"142 - 159"},"PeriodicalIF":0.0000,"publicationDate":"2022-09-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Fixed Income","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.3905/jfi.2022.1.143","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
Abstract
This empirical performance attribution methodology provides an objective alternative to the existing practice of employing proprietary model–dependent systems with portfolio composition information. With only a time series of portfolio returns, this methodology detects multidimensional risk exposures, whether intended or unintended. The results allow for comparison of styles, risk exposures, and sources of performance across managers. Furthermore, as part of a well-designed internal investment process, this independent attribution methodology delivers a feedback mechanism for identifying systematic biases in analytical models that need correction.
期刊介绍:
The Journal of Fixed Income (JFI) provides sophisticated analytical research and case studies on bond instruments of all types – investment grade, high-yield, municipals, ABSs and MBSs, and structured products like CDOs and credit derivatives. Industry experts offer detailed models and analysis on fixed income structuring, performance tracking, and risk management. JFI keeps you on the front line of fixed income practices by: •Staying current on the cutting edge of fixed income markets •Managing your bond portfolios more efficiently •Evaluating interest rate strategies and manage interest rate risk •Gaining insights into the risk profile of structured products.