Interactive Data unit CMS BondEdge, a provider of fixed income portfolio analytics, has introduced a returns-based/sector-based attribution.
This new approach is in addition to existing CMS BondEdge proprietary fixed income attribution analytics, which employ a quantitative factor-based/duration-based approach.
Interactive Data says the newly released analysis quantifies a relative weighting effect between a portfolio and benchmark within a given market segment, and then calculates a selection effect using the relative performance within that segment.
Users can define segments by currency, sector, duration or maturity, and then customise reports using their own choice of these factors, to align attribution more closely with an investment strategy.
“This new ‘top-down’ approach offers portfolio managers the flexibility to choose an attribution analysis that mirrors his or her particular investment style,” explains CMS BondEdge senior vice president and product manager, Lou Gehring. “We’ve seen significant interest in this type of attribution approach from high yield portfolio managers, as well as from the European market, and are excited to be able to offer BondEdge clients the option to employ either approach or both, as warranted.”