Fixed Income Performance Attribution: Ein Modellvergleich (German Edition) download epub
by Alexander Redler
Fixed-income managers need specialized attribution models that for example incorporate all the effects .
Fixed-income managers need specialized attribution models that for example incorporate all the effects of yield-curve movements. The route is the factor based approach, where the performance of all securities is first decomposed using systematic factors and then aggregated. We consider a configurable, extendable hybrid approach to fixed-income performance attribution where attribution is decomposed into many fixed-income factors as well as simultaneously carrying out an asset-grouping approach to performance attribution where necessary.
FIXED INCOME PERFORMANCE ATTRIBUTION ANALYSIS OF A MULTI-CURRENCY BOND PORTFOLIO Diploma . Aribuion models are designed o idenify he relevan facors ha impac performance and o asses he conribuion of each facor o he final resul
FIXED INCOME PERFORMANCE ATTRIBUTION ANALYSIS OF A MULTI-CURRENCY BOND PORTFOLIO Diploma hesis submied o Swiss Federal Insiue of Technology, Zürich Universiy of Zürich, Swiss Banking Insiue for he degree. Aribuion models are designed o idenify he relevan facors ha impac performance and o asses he conribuion of each facor o he final resul. This informaion can hen be communicaed o cliens, managemen and (no leas) he porfolio managers ha conduced he acive bes.
1 Fixed Income Performance Attribution Mary Cait McCarthy August 2014. 17 5 Designing a Factor Model General model description: Security returns can be expressed as a linear combination of sensitivities to systematic factors and the returns associated with those systematic factors factors Rs income return Exposure s i, i i s Fixed Income Factors Durations/interest shifts: three factor representation, key rate representation Spread durations/spread shift: flexible granularity Other impacts: prepayments, optionality, etc. A simple factor model for fixed income: R s income return s duration s yield curve shift s August.
The challenge of fixed-income performance attribution is to create a model that evaluates the investment process objectively without being excessively complex
The challenge of fixed-income performance attribution is to create a model that evaluates the investment process objectively without being excessively complex. The authors present a performance attribution model that uses returns rather than yields to simplify implementation of the model and provide meaningful output. What’s Inside? The authors create an attribution model that follows a top-down portfolio management approach but is built from the bottom up. As a result, the attribution output can be viewed at various levels of granularity.
2 Fixed Income Performance Attribution Models. According to Campisi (2000), following are some of the characteristics of a comprehensive fixed income attribution framework. The appropriate models should explain how the return was generated and distinguish skill from luck.
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Performance attribution, profit attribution, or investment performance attribution is a set of techniques that performance analysts use to explain why a portfolio's performance differed from the benchmark. This difference between the portfolio return and the benchmark return is known as the active return. The active return is the component of a portfolio's performance that arises from the fact that the portfolio is actively managed.
Fixed Income Attribution has been written to fill this tremendous void. This comprehensive resource contains both theoretical and practical information about running and understanding fixed income attribution, including the mathematics of attribution, practical limitations, benchmarks, presentation tools, and choosing and running an attribution system.
Alexander Hartung (Author). Book 2 of 2 in Ein Nik-Pohl-Thriller.
Presentation on theme: "FIXED INCOME PERFORMANCE ATTRIBUTION"- Presentation transcript .
Presentation on theme: "FIXED INCOME PERFORMANCE ATTRIBUTION"- Presentation transcript: 1 FIXED INCOME PERFORMANCE ATTRIBUTION A PRESENTATION TO THE EUROPEAN BOND COMMISSION Wolfgang Marty Portfolio Analytics CSAM Zürich. 29 FIXED INCOME RISK MODEL FACTOR ANALYSIS Historical Data Specify factors Principal components analysis Regression analysis Problem: Interpretation of factors Problem: Goodness of the fit. 30 FIXED INCOME RISK MODEL COMPARISON Barra Shift Twist Butterfly Wilshire Shift Slope Curvature Prespecified by yield curve shapes with few parameters Estimated by historical data.