PT - JOURNAL ARTICLE AU - Stanley J. Kon TI - Fixed Income Performance Attribution: An Objective Methodology AID - 10.3905/jfi.2022.1.143 DP - 2022 Sep 02 TA - The Journal of Fixed Income PG - jfi.2022.1.143 4099 - https://pm-research.com/content/early/2022/09/02/jfi.2022.1.143.short 4100 - https://pm-research.com/content/early/2022/09/02/jfi.2022.1.143.full AB - 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.