Equity attribution is intuitive and easy to understand. With a standard Brinson approach, one can explain the portfolio’s performance in terms of being overweight or underweight and how each group performed relative to the benchmark.
Fixed income attribution tends to be a different beast.
Taking the same approach as equities doesn't work because the drivers of total return are more complex. Fixed income attribution needs to go further.
In this report, we address a variety of fixed income strategies, including: core investment grade, high yield, emerging markets, liability-driven investment (LDI), and multi-asset. Through examples, we show new ways to improve the quality of fixed income attribution analysis, regardless of the investment mandate.
Download our eBook, Demystifying Fixed Income Attribution, One Strategy at a Time, to understand ways you can take your fixed income analysis to the next level.