PT  - JOURNAL ARTICLE
AU  - Ulrich Keller
AU  - Andreas Schlatter
TI  - Telescopic Sums
AID  - 10.3905/jfi.1999.319264
DP  - 1999 Sep 30
TA  - The Journal of Fixed Income
PG  - 88--92
VI  - 9
IP  - 2
4099  - https://pm-research.com/content/9/2/88.short
4100  - https://pm-research.com/content/9/2/88.full
AB  - Performance attribution of bond portfolios has always been a complex mater. Especially during times when monetary unions such as the EMU materialize, it has become more important to incorporate in to an attribution next to duration and yield curve also the factor selection. At the same time, given the fact that more and more corporate bonds are emitted, a performance attribution of a bond portfolio has to be independent of any yield curve other than the portfolio–implied curve. In this article, we develop a linear model based on the portfolio implied yield curve, which distributed the excess return of a bond portfolio to the factors duration, yield curve, and selection. The model is easily applicable and has a geometric visualization in form of a “double pie.”