In this paper we analyze how innovations in the term structure cause unexpected variations in the returns of fixed-income securities, and suggest a measure of these effects, which is essentially a generalization of the concept of duration. This measure is particularly suitable in performance attribution of fixed-income portfolios, since it enhances excess returns deriving from adjustments in forward rates, and leaves space for contributions caused by market frictions
Zambruno, G. (2008). Some Refinements on Fixed-Income Performance Attribution. EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 185(3), 1574-1577 [10.1016/j.ejor.2006.08.026].
Some Refinements on Fixed-Income Performance Attribution
ZAMBRUNO, GIOVANNI
2008
Abstract
In this paper we analyze how innovations in the term structure cause unexpected variations in the returns of fixed-income securities, and suggest a measure of these effects, which is essentially a generalization of the concept of duration. This measure is particularly suitable in performance attribution of fixed-income portfolios, since it enhances excess returns deriving from adjustments in forward rates, and leaves space for contributions caused by market frictions
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