Fixed Income Attribution by Andrew Colin
By Andrew Colin
Fastened source of revenue attribution is by means of its very nature a posh and mathematically difficult subject, and there's little details to be had in this quarter. fastened source of revenue Attribution has been written to fill this large void. This accomplished source includes either theoretical and useful information regarding operating and knowing fastened source of revenue attribution, together with the maths of attribution, useful barriers, benchmarks, presentation instruments, and selecting and operating an attribution method. packed with insightful examples and professional recommendation, fastened source of revenue Attribution is the best resource of data for these operating during this advanced surroundings.
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There is very little difference between 1-year and 30-year yields. S. P. P. K.
Calculation of Returns 15 Where daily revaluations are used, these formulae give accurate approximations to the true rate of return. They may be used for individual securities or for the portfolio as a whole. What are the advantages of the Dietz formulae? Unlike some other methodologies, they allow the distorting effects of cash ﬂows to be minimized, so that we can compare like with like. For instance, it is sometimes possible for an unscrupulous fund manager to adjust the timing of cash ﬂows to the start or end of the month to add a few basis points of performance.
The value added by a stock i is given by i = rBi · aPi − aBi + aPi · rPi − rBi rVA When there are no cash ﬂows and instruments are priced consistently across portfolio and benchmark, the stock’s return is the same in the portfolio as in the benchmark, in which case rPi = rBi which implies i rVA = rBi · aPi − aBi That is, the value added by stock i is just the asset allocation return for the stock. When presenting stock-level attribution returns, it can be convenient to show the ﬁgures in terms of active return and active weight.