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The Fixed Income Attribution model is designed to meet the needs of bond managers who need a detailed decomposition of total bond returns. Using a returns-based methodology, the Fixed Income Attribution model disaggregates the portfolio's return into multiple bond characteristics that measure the exposure to duration, the changing shapes of yield curves, credit spreads, and other relevant factors. It uses a standard Brinson-Fachler single factor equity style attribution methodology to decompose the total spread into allocation, selection, and interaction effects.
Selectable Inputs Smoothing option in Global Attribution enables a user to load a set of unsmoothed attribution effects in the Eagle database and smooth the effects using industry standard smoothing algorithms. This will ensure that the linked excess return reconciles to the sum of smoothed effects.