[Verse 1] Portfolio manager Sarah holds a billion in bonds Client wants to know why returns went beyond Benchmark performance by forty basis points Time to dissect each contributing joint Duration risk shifted when rates took a dive Credit spreads tightened, kept profits alive But attribution shows the deeper tale Of every decision that made returns sail [Chorus] Break it down, break it down Duration, credit, curve around D-C-C, the holy three Fixed income attribution key Duration moves with interest rates Credit spreads determine fates Curve positioning seals the deal Make those portfolio effects real [Verse 2] Duration measures price sensitivity When ten-year treasuries move dramatically If rates drop one percent, duration of four Means bond prices jump four percent or more Manager went long duration last spring Predicted rate cuts, made the portfolio sing But if rates had climbed instead of fell That same position would have hurt like hell [Chorus] Break it down, break it down Duration, credit, curve around D-C-C, the holy three Fixed income attribution key Duration moves with interest rates Credit spreads determine fates Curve positioning seals the deal Make those portfolio effects real [Verse 3] Credit spreads measure default fear premium Corporate bonds over treasury plenum When economy strengthens, spreads compress tight High-yield corporates take profitable flight Sarah overweighted investment grade While junk bonds rallied in the market parade Credit attribution shows she missed the boat Should have trusted that risk-on vote [Bridge] Yield curve twisting, steepening, flat Short rates versus long, imagine that Bullet bonds versus laddered maturities Barbell strategy or concentrated securities Each positioning choice affects the return Attribution analysis helps managers learn [Chorus] Break it down, break it down Duration, credit, curve around D-C-C, the holy three Fixed income attribution key Duration moves with interest rates Credit spreads determine fates Curve positioning seals the deal Make those portfolio effects real [Outro] Sum up all effects to reconcile the gap Between benchmark returns and portfolio's map Duration, credit, curve - the attribution dance Turns performance mystery into finance
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