Until now, fixed income attribution has been seen as a complex and mathematically demanding topic. Despite its interest to the investment community, there has been little information available on the subject beyond the occasional research paper and internal interest-group publication. Fixed Income Attribution fills this gap, by showing how to break down the returns on a fixed income portfolio by source of investment risk, in a clear, accessible style. Fixed Income Attribution. Explains for the first time the theory and practice of fixed income attribution in detail. Shows how to reveal the effects of multiple investment decisions in fixed income portfolios, including yield return, term structure effects, credit and liquidity effects, and others. Contains both theoretical and practical information about fixed income attribution, including the mathematics of attribution, yield curve modeling, practical limitations, benchmarks, presentation...

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