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Mastering Attribution in Finance by Andrew Colin

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9

Carry return

9.1 Introduction

9.2 Carry-based investment strategies

9.3 Types of yield

9.4 Calculating carry return

9.5 Pros and cons of YTM

9.6 Decomposing carry

9.7 Which yield to use?

9.8 Decomposing carry return

9.9 Yield for non-bond securities

9.10 Using yield to maturity in attribution reports

9.1 INTRODUCTION

What is the return of a portfolio when the markets are closed?

For equity markets, the answer is straightforward. The reference prices at which the markets last closed should be used for revaluation. Since prices do not change and no dividends are announced, the portfolio’s return will always be zero.

Matters are slightly more complex in the fixed income markets. Here, most securities offer regular, known cash flows to their ...

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