Simulated Performance Return Breakdown

Simulated Performance allows the user to calculate the performance of one or more portfolios under various hypothetical scenarios involving time horizons, transaction scenarios, yield curve shifts, and spread adjustments. In Custom Index Manager (CIM), these calculations can also be run on the index and as a portfolio vs. index comparison.

This white paper covers

• • Simulated Performance Detailed (Bottom-Up) Breakdown of Total Return

• • Coupon Return

• • Market Amort/Roll Return, Non-Parallel Shift Return (Visible for “Regular” Return Breakdown)

• • Market Amort Return, Roll Return, Twist Return, Butterfly Return, Yield Curve Return (Visible for “Extended” Return Breakdown)

• • Parallel Shift Return

• • Spread Return

• • Paydown Return

• • Reinvestment Return