RT Journal Article
SR Electronic
T1 Fixed Income Performance Attribution: An Objective Methodology
JF The Journal of Fixed Income
FD Institutional Investor Journals
SP 142
OP 159
DO 10.3905/jfi.2022.1.143
VO 32
IS 2
A1 Stanley J. Kon
YR 2022
UL https://pm-research.com/content/32/2/142.abstract
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.