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The Attribution of Portfolio and Index Returns in Fixed Income
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The Attribution of Portfolio and Index Returns in Fixed Income
Author: Timothy J. Lord
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The author has constructed a method for determining the attribution of a holding in terms of a duration-matched Treasury or DMT. In his model, each bond in the group is linked to a DMT, which forms the basis for computing duration and spread returns and identifying components of price return. But there is much more, as you'll see...
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