Introduction
This section provides an overview of the various types of fixed income return that can be measured by FIA.
Familiarity with terms such as bond, zero coupon yield curve, credit curve is assumed.
Understanding how FIA runs fixed income attrbution
Description | Link |
The difference between first-principles and perturbational fixed income attribution | First-principles and perturbational attribution |
Describing yield curve movements for attribution | Yield curve attribution |
Fixed income risks
Description | Link |
Return due to time/carry | Time return |
Return due to coupons, pull to par | Current yield and pull to par |
Roll-down effects | Roll-down return |
Return due to movements in the risk-free curve | Sovereign curve return |
Return due to changes in spread, credit effects | Credit and sector curve attribution |
Return due to changes in Z-spread | Z-spread return |
Return due to inflation indexation | Inflation return |
Return due to returns on cash holdings | Cash return |
Returns due to unclassified effects | Unattributed return |
Returns due to paydown effects | Paydown return |
Returns due to security-specific effects | Security-specific return |
Unclassified returns | Residual return |
Returns due to user-defined sources | User-defined return |
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