Preface . . . . . . . . . . . . . . . . ix
Summaries . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . xi
Author Biographies . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . xv
Chapter 1 – An Overview of Fixed Income Attribution
David Spaulding. . . . . . . . . . . . . . . . . . . . 1
Chapter 2 – Primer on Fixed Income Performance Attribution
Stephen Campisi. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
Chapter 3 – Fixed Income Indexes: Benchmarks for that Other Asset Class
Steven D. Berkley . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29
Chapter 4 – Fixed Income Attribution: A Unified Framework
Bernard Murira and Hector F. Sierra . . . . . . . . . . . . . . . . . . . . .39
Chapter 5 – Bond Performance: Analyzing Sources of Return
Gifford Fong, Charles Pearson, and Oldrich Vasicek . . . . . . . . 75
Chapter 6 – Fixed Income Attribution
Gerard van Breukelen . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 85
Chapter 7 – Thinking Through Fixed Income Attribution:
Reflections from a Group of French Practitioners
Claude Giguére . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 97
Chapter 8 – The Attribution of Portfolio and Index Returns in Fixed Income
Timothy J. Lord . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 125
Chapter 9 – Fixed Income Attribution Model
Mathieu Cubilié . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 145
Chapter 10 – Yield Curve Decomposition and Fixed Income Attribution
Zoubair Essenghaier, Tilak Lal, Peter Cai,
and Phil Hannay . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .169
Chapter 11 – Fixed Income Portfolio Management: Risk Modeling, Portfolio
Construction and Performance Attribution
Srichander Ramaswamy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 193
Chapter 12 – An OAS Framework for Portfolio Attribution Analysis
William Burns and Wensong Chu. . . . . . . . . . . . . . . . . . . . . . . . . . 213
Chapter 13 – Performance Attribution within BlackRock Solutions:
A Focus on Data Integrity, Measuring Risk Exposures and
Process Modeling
Christopher Fisher and Vesselin Vassilev. . . . . . . . . . . . . . . . . . . . 229
Chapter 14 – A Framework for Multiple Currency Fixed Income Attribution
Andrew McLaren. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 259
Chapter 15 – Returns-Based Attribution Analysis for
Municipal Bond Portfolios
Cadmus Hicks. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .289