Includes bibliographical references and index.

Fixed Income Attribution; Contents; Preface; Acknowledgements; A Note on Notation; 1 Attribution in the Investment Process; 2 Calculation of Returns; 3 Simple Attribution; 4 Yield Curves in Attribution; 5 Interest Rate Risk and Portfolio Management; 6 Measuring Changes in Yield Curves; 7 Converting Yield Movements into Performance; 8 The Hierarchy of Fixed Income Returns; 9 Yield Return and Coupon Return; 10 Treasury Curve Return; 11 Roll Return; 12 Credit Return; 13 Optionality Return; 14 Asset Allocation Return; 15 Other Sources of Return; 16 Worked Examples.

Fixed income attribution is by its very nature a complex and mathematically demanding topic, and there is little information available on this area. Fixed Income Attribution has been written to fill this tremendous void.℗¡ This comprehensive resource contains both theoretical and practical information about running and understanding fixed income attribution, including the mathematics of attribution, practical limitations, benchmarks, presentation tools, and choosing and running an attribution system.

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