DST International (DSTi) has released a Fixed Income Attribution solution.
It is designed to support any investment process and DSTi claims it is the first to provide a choice of methodologies, including three revaluation based approaches and one duration based approach. The revaluation approach uses a choice of principal component analysis, empirical and polynomial techniques.
The models are factor based and attribute returns to Yield Curve Management, Direct Income, Currency and Quality Effects. Yield Curve Management can be further broken down to parallel, twist and butterfly effects.
“We are delighted to be leading the new breed of fixed income attribution solutions,” says DSTi CEO Mike Winn. “DSTi’s Fixed Income Attribution is a truly flexible and easy to use solution that supports both front office and performance measurement needs. There are currently no internationally accepted standards for fixed income attribution and the market is constantly evolving. DSTi’s Fixed Income Attribution will grow with an organisation because it offers choice.”