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 | |
Describing yield curve movements for attribution |
Fixed income risks
Description | Link |
Return due to time/carry | |
Return due to coupons, pull to par | |
Roll-down effects | |
Return due to movements in the risk-free curve | |
Return due to changes in spread, credit effects | |
Return due to changes in Z-spread | |
Return due to inflation indexation | |
Return due to returns on cash holdings | |
Returns due to unclassified effects | |
Returns due to paydown effects | |
Returns due to security-specific effects | |
Unclassified returns | |
Returns due to user-defined sources |
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