Fixed Income Return Attribution

RiskValue™ captures the key components of fixed income securities, decomposes the sources of risk and return, provides the attribution results in a clear and transparent manner, identifies pricing mismatches, between the portfolio and benchmark, as well as increases the overall quality of the investment process.

Main Features

For most fixed income investment strategies, the standard attribution models are not suitable. Investment decision process and performance of fixed income instruments are driven by changes in the shape of the yield curve.

  • Carry Effect decomposition into coupon and convergence returns
  • Yiend Curve Effect decomposition analysis based on parallel and non-parallel shifts or splitting the yield curve change into duration choice and yield curve positioning
  • Decomposition of Spread Effect to a common category (i.e. country) and the part that is unique to the security
  • Ability to drill down to a single security and a single day