Fixed Income Attribution

Preface.
Acknowledgements.

A Note on Notation.

PART I: CONCEPTS OF ATTRIBUTION.

1. Attribution in the Investment Process.

2. Calculation of returns

3. Simple Attribution.

4. Yield Curves in Attribution.

5. Interest Rate Risk and Portfolio Management.

6. Measuring Changes in Yield Curves.

7. Converting Yield Movements into Performance.

PART II: SOURCES OF ATTRIBUTION RETURN.

8. The Hierarchy of Fixed Income Returns.

9. Yield Return and Coupon Return.

10. Treasury Curve Return.

11. Roll Return.

12. Credit Return.

13. Optionality Return.

14. Asset Allocation Return.

15. Other Sources of Return.

16. Worked Examples.

PART III: FIXED INCOME ATTRIBUTION IN PRACTICE.

17. Implementing an Attribution System.

18. Fixed Income Benchmarks.

19. Presenting Attribution Results.

20. Beyond Fixed Income Attribution.

Appendix A: Derivation of the Normal Equations for a Least Squares Fit.

References.

Index.