Fixed Income Attribution

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 tools
• Includes all the information you need, gathered in one place

"In this book Andrew has shown he has a fundamental grasp of the problems and pitfalls associated with finxed income attribution.  He clearly presents a number of different approaches to a difficult problem and, quite rightly so in my opinion, does not set out to pretend that one method is any better or any worse than any other.  More of a recipe book than a prescription: it is up to the reader to decide which is most appropriate to their needs.  The style is easy to read, both with and without a detailed knowledge of maths.  This book deserves to take pride of place as an attribution reference."  Dr Paul Dentskevich, Senior Quantitative Analyst, Threadneedle Asset Management Ltd.