Fixed-Income Attribution : the Combined Methodology

Fixed-Income Attribution : Proposal of a new methodology





















Philippe GILLET
CEREGE
IAE Poitiers
Phgilletconseil@free.fr


Bernard HOMOLLE
Ixis – Asset Management

Personne à contacter : Philippe GILLET

FIXED- INCOME ATTRIBUTION : PROPOSAL FOR A NEW METHODOLOGY

I. Introduction and Summary

a. Introduction

Performance attribution reporting has been a major step for the asset management industry. Many different
methodologies have been defined for the performance attribution of equities portfolios [for example Brinson
Hood Beebower (1986), Brinson Singer Beebower (1991) and Singer-Karnosky (1995)], however no
consensus has been reached for the analysis of fixed-income portfolios. Of course, a lot of progress has been
made: M. Khoury, V. Nabil., R. Veilleux (2003) resumed the different factors explaining the performance of a
fixed-income portfolio. Noteworthy contributors also include Campisi (2000), Van Breukelen (2000),
Ramaswany (2001) and McLaren (2002). Nevertheless, even if these articles contributed to the general
knowledge of the subject, none of them has become a standard.

In the French-speaking countries a global initiative comprising a large number of asset managers, consultants
1and software vendors, the G.R.A.P. , have studied the subject in-depth. This initiative constitutes a first step
towards a consensus of the most important elements to look at in fixed income performance analysis ...