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4.8 (17 Reviews)

Fixed Income Attribution

London Financial Studies, In London (+3 locations)
Length
2 days
Price
3,340 GBP excl. VAT
Next course start
Enquire for more information (+4 start dates)
Course delivery
Classroom, Self-Paced Online
Length
2 days
Price
3,340 GBP excl. VAT
Next course start
Enquire for more information (+4 start dates)
Course delivery
Classroom, Self-Paced Online
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Course description

Fixed Income Attribution

A 2-day programme covering the latest techniques used for fixed income attribution.

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

Upcoming start dates

Choose between 4 start dates

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  • Classroom
  • London
  • English

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  • Classroom
  • New York
  • English

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  • Classroom
  • Singapore
  • English

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  • Self-Paced Online
  • Online
  • English

Suitability - Who should attend?

This course is especially suitable for:

  • Performance analysts
  • Fund and portfolio managers
  • Investment officers
  • Fixed Income professionals (marketing/sales)
  • Auditors and compliance
  • Quants and IT developers

Participants should have a basic understanding of fixed income products and Microsoft Excel skills.

Training Course Content

The Fixed Income Attribution course will cover the following modules and units:

Day One

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

Exercise : performance, equity attribution, forwards and smoothing in practice

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

Exercise: Breaking down the yield curve

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

Exercise: Different approaches to attribution

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

Exercise: Running attribution on a real portfolio

Attribution and risk

  • Applying attribution to Value at Risk: calculating VaR and ETL on attribution returns

Bringing it together

  • Useful tricks and short-cuts
  • Reporting and residuals
  • Other attribution models (style attribution, risk attribution, stochastic attribution)

Various other examples will be shown during the course, including:

  • 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

In addition, answers to the following questions will be discussed:

  • 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?

Course delivery details

Courses are delivered in the London classroom and live online via LFS Live in London, New York, and Singapore time zones.

Please contact LFS for more details.

Why choose London Financial Studies

Established 1997

Training delivered to 14,300 professionals from almost 2,000 companies

97% recommendation rate 

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Reviews

Average rating 4.8

Based on 17 reviews.
Reviews are published according to our review policy.
Write a review!
Senior manager
5/5
24 Apr 2019
One Of The Best And Most Useful Training I'Ve Had.

One of the best and most useful training I've had.

Associate
5/5
23 Apr 2019
Deep And Comprehensive

Deep and comprehensive material used for the course which can fit to practice in the real world.

Senior Performance Analyst
5/5
19 Aug 2018
Tutor Was Fantastic.

The small class size and interactivity of the course was great and allowed me to learn all that I needed to from the course. Rupesh Tailor as a tutor was fantastic. He had an ...

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London Financial Studies
34 Curlew Street
SE1 2ND London

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