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- Title
Fixed Income Performance Attribution: An Objective Methodology.
- Authors
Kon, Stanley J.
- Abstract
This empirical performance attribution methodology provides an objective alternative to the existing practice of employing proprietary model-dependent systems with portfolio composition information. With only a time series of portfolio returns, this methodology detects multidimensional risk exposures, whether intended or unintended. The results allow for comparison of styles, risk exposures, and sources of performance across managers. Furthermore, as part of a well-designed internal investment process, this independent attribution methodology delivers a feedback mechanism for identifying systematic biases in analytical models that need correction.
- Publication
Journal of Fixed Income, 2022, Vol 32, p142
- ISSN
1059-8596
- Publication type
Academic Journal
- DOI
10.3905/jfi.2022.1.143