O'Reilly logo

Mastering Attribution in Finance by Andrew Colin

Stay ahead with the world's most comprehensive technology and business learning platform.

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, tutorials, and more.

Start Free Trial

No credit card required

14

Duration allocation attribution

14.1 Introduction

14.2 Return of a single fixed income security

14.3 Calculating duration returns

14.4 Discussion

14.1 INTRODUCTION

A manager who makes macro-level investment decisions on their portfolio’s interest rate risk exposures against benchmark is following a duration allocation strategy. Duration allocation strategies are often run in parallel with security-level strategies involving exposure to active carry, movements in the risk-free curve and credit spread changes.

Duration allocation techniques are becoming increasingly widely used in fixed income investment, and are frequently combined with other bottom-up techniques to form hybrid investment strategies, with a return that must be measured ...

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, interactive tutorials, and more.

Start Free Trial

No credit card required