Simulated performance detailed return breakdown methodology empowers users to isolate and quantify the specific drivers of hypothetical portfolio performance, such as coupon income, curve shifts, roll, spreads, and reinvestment, enabling more precise scenario analysis and decision-making across a range of market conditions.
This white paper covers
- Simulated performance detailed (bottom-up) breakdown of total return
- Coupon return
- Market amort/roll return, non-parallel shift return (visible for “regular” return breakdown)
- Market amort return, roll return, twist return, butterfly return, yield curve return (visible for “extended” return
- Parallel shift return
- Spread return
- Paydown return
- Reinvestment return
