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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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CHAPTERSEVENTYPERFORMANCE ATTRIBUTION FOR PORTFOLIOS OF FIXED INCOME SECURITIES

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

In contrast to the simple and opaque nature of equities, fixed income securities can be thought of as structured investments which promise to pay a stream of cash flows. The magnitude of cash flows can be fixed, or may depend on observable variables (e.g., realized inflation, principal prepayments of mortgage loans, or the price of the security itself for securities with call/put features). This quasiformulaic nature ...

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