Customer Reviews

Fixed Income Attribution (The Wiley Finance Series)

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This is a superficial book which doesn't go into enough depth in fixed income attribution. Instead of filling pages and pages with pictures of different yield curves and outputs of different software to **display** the attribution results (chapter on "presentation" pp121-131), the author could have presented a few in-depth worked examples of how fixed income attribution can be done, from start to finish, for an example fixed income portfolio containing different assets (including government and corporate bonds), against a benchmark. That would have served as a reusable instructive tool. There is one worked example of perturbational attribution, which is for a single Treasury bond. This superficiality lacks any depth to equip one to do attribution on fixed income portfolios. It will not teach you how to do attribution for a portfolio against a benchmark where you have curve, sector allocation, security selection and other decisions.

This book provides an overview and not more. In an attempt to address non-technical readers the author is very short on technical issues such as Nelson-Siegel yield curve approximation. However, to really undertstand these topics I had to consult other sources. Actually, I find the Wikipedia entry for "Fixed Income Attribution" as informative for getting an overview of the topic as this overpriced little book.

Good overview of fixed income attribution. Discusses in general different attribution methodologies. I was hoping that the author would've discussed duration-based attribution in more detail. However, the purpose of my purchase was to get an overview of the topic which the author successfully achieved.