固定收益绩效归因：一种客观方法

Journal of Fixed Income Pub Date : 2022-09-02 DOI:10.3905/jfi.2022.1.143

Stanley J. Kon

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引用次数: 0

摘要

这种实证绩效归因方法提供了一种客观的替代方法，以替代现有的使用具有投资组合组成信息的专有模型依赖系统的做法。该方法仅使用投资组合回报的时间序列，可以检测到有意或无意的多维风险暴露。结果允许对不同经理的风格、风险暴露和绩效来源进行比较。此外，作为设计良好的内部投资过程的一部分，这种独立的归因方法提供了一种反馈机制，用于识别需要纠正的分析模型中的系统性偏差。

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Fixed Income Performance Attribution: An Objective Methodology

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.

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来源期刊

Journal of Fixed Income Economics, Econometrics and Finance-Economics and Econometrics

CiteScore

1.10

自引率

0.00%

发文量

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.