Fixed Income Attribution
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The course leader was quite knowledgeable and not only had knowledge about the topic itself, but also about the broader financial market.
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Very accurate course, it gave me a deeper knowledge of the topic and the techniques used in the financial market.
← | →
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All around organized course that advantages from the bits of knowledge in industry rehearse Rupesh gives en route.
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Short course
In London and Singapore (Singapore)
Acquire working experience in the field of fixed income attribution!
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Type
Short course
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Location
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Duration
2 Days
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Start date
Different dates available
This hands on course enables participants to get a practical working experience of fixed income attribution, from planning to implementation and analysis. After completing the course you will have developed the skills to:
Understand how attribution works and the value it adds to the investment process
Interpret attribution reports from commercial systems
Assess the strengths and weaknesses of commercially available attribution software
Make informed decisions about the build vs. buy decision
Present results in terms accessible to all parts of the business
This course is also available remotely via LFS Live.
Facilities
Location
Start date
Start date
Start date
About this course
Performance analysts
Fund and portfolio managers
Investment officers
Fixed Income professionals (marketing/sales)
Auditors and compliance
Quants and IT developers
A basic understanding of fixed income products
Microsoft Excel
Reviews
-
The course leader was quite knowledgeable and not only had knowledge about the topic itself, but also about the broader financial market.
← | →
-
Very accurate course, it gave me a deeper knowledge of the topic and the techniques used in the financial market.
← | →
-
All around organized course that advantages from the bits of knowledge in industry rehearse Rupesh gives en route.
← | →
Course rating
Recommended
Centre rating
Head of Strategic Liquidity Reserve
Former Student
Anonymous
Anonymous
Anonymous
Anonymous
Anonymous
This centre's achievements
All courses are up to date
The average rating is higher than 3.7
More than 50 reviews in the last 12 months
This centre has featured on Emagister for 16 years
Subjects
- Risk
- Fixed Income
- Securities
- Credit
- Fixed Income Attribution
- EMD
- MBS
- Marketing
- Microsoft Excel
- Menchero
- Frongello
- Geometric
- Money Markets
- Bonds
- Perpetuals
- Performance evaluation
- Performance
- Benchmarking
- Stock Markets
- Asset Allocation
Teachers and trainers (1)
Rupesh Tailor
Teacher
Rupesh Tailor is a banking sector specialist with over thirteen years’ experience, working for sell-side and buy-side financial institutions including Goldman Sachs, Barclays Capital, Merrill Lynch, Auriga Investors and Morgan Stanley. He specialized in the European bank sector as well as the analysis of high yield and leveraged finance investments. His responsibilities included analysis, trading and portfolio management of credit and equity products. Rupesh developed a proprietary method for predicting bank failure, which has been used to accurately predict banking stress.
Course programme
Laying the groundwork
- Attribution: what it is, why it’s useful
- The basics of performance measurement
- Foreign exchange, hedging and benchmarks
- Stock selection and asset allocation
- Brinson Fachler and Brinson Beebower Hood models - Why forwards can drastically change an attribution analysis:
- Brinson and Karnosky Singer models - Why smoothing is needed and how to do it:
- Carino, Menchero, Frongello, geometric and other models
Review of fixed income fundamentals
- A quick overview of fixed income risk; a bond as a bundle of risks
- Yield curves: par, zero and real
- Pricing, risk and the fundamental attribution equation
Decomposing fixed income return
- Carry and roll down return
- Risk free curve return:
- duration
- shift/twist/butterfly
- key rate durations
- principal components
- two and three factor models to describe yield curve movements
- Sector and credit return:
- country spread
- spread change allocation and selection
- sector and security specific returns
- Paydown return for amortizing securities, convexity return, repricing return, trading return
- Widely used attribution models:
- Campisi
- Tim Lord
- Van Breukelen
- top down
- EMD
- high yield
Day Two
Attribution by security type
- Bonds and perpetuals
- Money markets: Cash, bills, discount securities, CDs, FRNs, forwards
- Inflation linked securities and breakeven return
- Futures and the cheapest to deliver
- Sinkers: amortizing bonds, MBS and ABS
- Swaps
- Credit derivatives
- Options and callable/puttable bonds
Attribution and risk
- Applying attribution to Value at Risk: calculating VaR and ETL on attribution returns
- Useful tricks and short cuts
- Reporting and residuals
- Other attribution models (style attribution, risk attribution, stochastic attribution)
- Duration attribution
- Assessing curve steepening
- Sector and credit spread analyses
- Breakeven trades in inflation linked portfolios
- Barbell and other curve positioning strategies
- High yield attribution
- Top down attribution
- Handling options
- Curvature versus convexity: what’s the difference?
- What is the right way to measure parallel shift?
- Why a zero coupon bond shows time return without accruing interest?
- How many risk factors has an FRN?
- Modified duration, Fisher Weil duration or DV01: which risk measure is best for attribution?
- How to handle hedged benchmark issues?
Fixed Income Attribution