Fixed Income Relative Benchmark Attribution
- Tom Fahey (Unlicensed)
- Pamela Totas (Deactivated)
- Jacob Mathews (Deactivated)
Benchmark relative performance attribution is performed on the decomposed bond returns by performance model segment contribution rollup of all of the bonds in the portfolio and benchmark from which the relative return differences of each segment are calculated. The following table displays representative local fixed income attribution effects.
Effect | Formula |
|---|---|
Currency | Fund Segment Weight * Fund Currency Return − Index Segment Weight * Index Currency Return |
Currency Cross Product | Fund Segment Weight * Fund Cross Product Return − Index Segment Weight * Index Cross Product Return |
DMYield | Fund Segment Weight * Fund DMYield Return − Index Segment Weight * Index DMYield Return |
Roll (Rolldown) | Fund Segment Weight * Fund Rolldown Return − Index Segment Weight * Index Rolldown Return |
Parallel Shift | Fund Segment Weight * Fund Parallel Shift Return − Index Segment Weight * Index Parallel Shift Return |
Curve Reshape | Fund Segment Weight * Fund Curve Reshape Return − Index Segment Weight * Index Curve Reshape Return |
Duration Matched Price | Fund Segment Weight * Fund DMPrice Return - Index Segment Weight * Index DMPrice Return |
Duration Matched Total | Fund Segment Weight * Fund DMTotal Return - Index Segment Weight * Index DMTotal Return |
Residual | Fund Segment Weight * Fund Residual Return - Index Segment Weight * Index Residual Return |
Yield Spread | Fund Segment Weight * Fund Yield Spread Return - Index Segment Weight * Index Yield Spread Return |
Price Spread | Fund Segment Weight * Fund Price Spread Return - Index Segment Weight * Index Price Spread Return |
Total Spread | Fund Segment Weight * Fund Total Spread Return - Index Segment Weight * Index Total Spread Return |
Trading Effect | Fund Segment Weight * Fund Trade Return - Index Segment Weight * Index Trade Return |
Price Source Effect | Fund Weight * Fund Price Source Return Where, Fund Price Source Return = Fund security price return – Index security price return The price source return is computed only when the security is held in both the fund and the index. |