Mastering Attribution in Finance

APPENDIX C

Attribution on Australian and New Zealand bond futures

The Australian and New Zealand markets treat futures on bonds slightly differently to other countries. Since the maturity of the underlying bond is always a constant, set interval, there is no carry return from this asset class.¹ The return R_F of an Australian or New Zealand bond future is given by

where MD is the future’s modified duration, and δy is its change in yield. A fixed income attribution system that models futures should be able to handle this asset type as a special case.

Australian bond futures are quoted in terms of ‘100-yield’, and this quantity is called ‘price’. ...