Many factors can explain return attribution differences in credit portfolio returns – curve, interest rate positioning, sector allocation, and security selection. Solid bottom-up fundamental credit research is certainly a cornerstone of any successful corporate bond management strategy, as most managers generally achieve a…

Many factors can explain return attribution differences in credit portfolio returns – curve, interest rate positioning, sector allocation and security selection. Solid bottom-up fundamental credit research is certainly a cornerstone of any successful corporate bond management strategy, as most credit managers generally…

The objective of performance attribution is to explain portfolio performance relative to a benchmark, identify the sources of excess return, and relate those sources to active decisions by the portfolio manager. This review charts the development of attribution from its beginning with Fama decomposition in the 1970s, through…

The authors from University of Pennsylvania Wharton School decompose firm-level corporate bond and equity index returns into (1) duration-matched government bond returns and (2) the excess return over and above this duration-matched counterfactual, what we term duration-adjusted returns. Their decomposition provides markedly…