Fixed Income Attribution


Until now, fixed income attribution has been seen as a complex and mathematically demanding topic. Despite its interest to the investment community, there has been little information available on the subject beyond the occasional research paper and internal interest-group publication. Fixed Income Attribution fills this gap, by showing how to break down the returns on a fixed income portfolio by source of investment risk, in a clear, accessible style.

Fixed Income Attribution

  • Explains for the first time the theory and practice of fixed income attribution in detail
  • Shows how to reveal the effects of multiple investment decisions in fixed income portfolios, including yield return, term structure effects, credit and liquidity effects, and others
  • Contains both theoretical and practical information about fixed income attribution, including the mathematics of attribution, yield curve modeling, practical limitations, benchmarks, presentation tools
  • Includes all the information you need, gathered in one place

"In this book Andrew has shown he has a fundamental grasp of the problems and pitfalls associated with finxed income attribution.  He clearly presents a number of different approaches to a difficult problem and, quite rightly so in my opinion, does not set out to pretend that one method is any better or any worse than any other.  More of a recipe book than a prescription: it is up to the reader to decide which is most appropriate to their needs.  The style is easy to read, both with and without a detailed knowledge of maths.  This book deserves to take pride of place as an attribution reference."  Dr Paul Dentskevich, Senior Quantitative Analyst, Threadneedle Asset Management Ltd.

ANDREW COLIN is Fixed Income Research Director for the StatPro Group plc. He has previously worked or consulted for Citibank London, Zurich Investment Management, the Commonwealth Bank, Suncorp Metway, Chubb Security, Arthur Andersen, EDS, Alcatel and the Royal Australian Navy.
Andrew is Adjunct Professor in the Faculty of Business at Queensland University of Technology, Brisbane, and holds a PhD in Mathematics from the University of St Andrews. His research interests include risk management and machine intelligence.



A Note on Notation.


1. Attribution in the Investment Process.

2. Calculation of Returns.

3. Simple Attribution.

4. Yield Curves in Attribution.

5. Interest Rate Risk and Portfolio Management.

6. Measuring Changes in Yield Curves.

7. Converting Yield Movements into Performance.


8. The Hierarchy of Fixed Income Returns.

9. Yield Return and Coupon Return.

10. Treasury Curve Return.

11. Roll Return.

12. Credit Return.

13. Optionality Return.

14. Asset Allocation Return.

15. Other Sources of Return.

16. Worked Examples.


17. Implementing an Attribution System.

18. Fixed Income Benchmarks.

19. Presenting Attribution Results.

20. Beyond Fixed Income Attribution.

Appendix A: Derivation of the Normal Equations for a Least Squares Fit.



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