If the identified sources relate to the key portfolio management decisions (whether intentional or unintentional) made for a return period, attribution can be used to evaluate the effectiveness of those decisions.
This whitepaper covers
- Attribution in CIM
- Systematic Effects Captured
- Coupon Return
- Market Amort Return
- Parallel/Non-Parallel Shift Return
- Sector/Quality Return
- Selection Return
- Residual Price Return
- Paydown Return
- Currency Return
