Custom Index Manager’s (CIM) factor-based attribution methodology provides granular insights into portfolio returns by independently decomposing performance factors, such as income, yield curve dynamics, and spread shifts, enabling precise evaluation of portfolio management decisions at any analytical level.
This whitepaper covers
- Attribution in CIM
- Systematic effects captured
- Coupon return
- Market amortization return
- Parallel/non-parallel shift return
- Sector/quality return
- Selection return
- Residual price return
- Paydown return
- Currency return
