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The Handbook of Fixed Income Securities, Eighth Edition, 8th Edition by Steven V. Mann, Frank J. Fabozzi

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CHAPTERSIXTY-NINEPRINCIPLES OF PERFORMANCE ATTRIBUTION

ANTHONY LAZANAS, PH.D.

Managing DirectorBarclays Capital

ANTÓNIO BALDAQUE DA SILVA, PH.D.

DirectorBarclays Capital

CHRIS STURHAHN

Vice PresidentBarclays Capital

ERIC P. WILSON

Vice PresidentBarclays Capital

PAM ZHONG, CFA

Vice PresidentBarclays Capital

Performance measurement and attribution is an important function of portfolio management. It helps bring clarity to the sources of portfolio risk and performance, quantify the contributions of individual decision-makers and identify structural issues. Performance attribution algorithms typically follow either a sector-based allocation or a factor-based allocation methodology, but neither is sufficient to cope with the complexity of modern portfolio ...

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