[Verse 1]
When bond portfolios move up and down
We need to know what drives returns around
Three main effects that we must understand
Duration, credit, and the curve at hand
Attribution breaks the pieces apart
Shows where performance gets its start
Each component tells a story true
Of why your fixed income portfolio grew
[Chorus]
Duration, Credit, Curve - the big three
D-C-C for fixed income attribution, you see
Duration measures interest rate risk
Credit spreads show default's twist
Curve positioning catches the bend
These three effects help us comprehend
[Verse 2]
Duration first, the king of bond risk
When rates move up, prices fall real quick
Modified duration tells the tale
How much your portfolio's value will sail
One percent rate change, duration's the guide
Shows the percentage move in price worldwide
[Chorus]
Duration, Credit, Curve - the big three
D-C-C for fixed income attribution, you see
Duration measures interest rate risk
Credit spreads show default's twist
Curve positioning catches the bend
These three effects help us comprehend
[Verse 3]
Credit spreads next, the quality game
High grade and junk don't move the same
When fear rises, spreads widen out
Lower rated bonds face more doubt
Investment grade versus speculative
Credit attribution shows what's definitive
[Bridge]
Curve positioning is the third key part
Steepening, flattening - that's the art
Short end, long end moving different ways
Butterfly trades in the middle plays
Yield curve changes shape each day
Attribution shows which bonds will pay
[Chorus]
Duration, Credit, Curve - the big three
D-C-C for fixed income attribution, you see
Duration measures interest rate risk
Credit spreads show default's twist
Curve positioning catches the bend
These three effects help us comprehend
[Outro]
Break down returns into pieces clear
Duration, credit, curve effects appear
Fixed income attribution shows the way
Which factors drove your bond returns today