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Performance Evaluation and Attribution of Security Portfolios by Russ Wermers, Bernd R. Fischer

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Chapter 13

Attribution Analysis for Fixed Income Portfolios

Abstract

In this chapter an introduction to the attribution analysis of fixed income portfolios is given. After an introduction to yield curves and related topics, the methodology of a yield-curve based analysis, which relies on the full valuation of the bonds in the portfolio and the benchmark and the option-adjusted spreads, is given. The standard methods for the modeling of a yield curve and their application in the attribution analysis are described. The chapter closes with a brief description of alternative approaches.

13.1 Investment Processes for Fixed Income Portfolios

13.1.1 Determinants of Investment Processes for Fixed Income Portfolios

13.1.1.1 Yield Curves

The positioning of the ...

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