Fixed income attribution

Attribution in the Investment Process

Calculation of Returns

Simple Attribution

Yield Curves in Attribution

Interest Rate Risk and Portfolio Management

Measuring Changes in Yield Curves

Converting Yield Movements into Performance

The Hierarchy of Fixed Income Returns

Yield Return and Coupon Return

Treasury Curve Return

Roll Return

Credit Return

Optionality Return

Asset Allocation Return

Other sources of return

Worked Examples

Implementing an Attribution System

Fixed Income Benchmarks

Presenting Attribution Results

Beyond Fixed Income Attribution

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