Fixed Income Return Attribution
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