Tid: 15 december 2003 kl 1615-1700

Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!

Föredragshållare: Kim Hansson

Titel: Fixed Income Attribution Analysis (Examensarbete)


The performance of a portfolio is often measured relative to some comparison index, or benchmark. The purpose of attribution analysis is to determine how much the difference in exposure to certain risk factors has contributed to the difference in return.

In this study, a distinction is made between performance attribution analysis and return attribution analysis. Performance attribution attributes the excess return over a benchmark to differences in asset allocation and security selection. Return attribution analysis is concerned with the return of individual securities. The return of a bond is broken down with respect to such factors as accretion, coupon return and yield curve movement. The return due to a specific factor can then be aggregated to market or market sector level for the portfolio and the benchmark.

The standard framework for performance attribution and a return attribution model for bonds are presented. The model has been implemented and tested on data from the Swedish government bond market.

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