Unlike equity performance attribution, fixed income attribution analysis lacks a consensus approach. Thus, managers, plan sponsors, and investment consultants face the challenges of a multitude of choices and little uniformity in the model and the calculations. In addition, performance attribution can't be completely static to be insightful. It must be tailored, to varying degree, to the investment process.
At the 2010 CFA Annual Conference, Chris Ellis presented a highly customizable framework that allows for detailed focus into high yield, investment grade, balanced -- or even equity -- attribution.
Chris Ellis joined FactSet in 1994 as a Consultant. He successfully defined and expanded the Portfolio Manager Workstation Sales business unit and became its Vice President before he assumed the position of Director of Portfolio Analytics. Under his direction, the Portfolio Analytics team specialized in meeting the needs of investment managers, fund of funds firms, and plan sponsors for performance attribution, risk optimization, and returns-based analysis. In 2007, he was promoted to his current position and assumed responsibility for fixed income analytics. Mr. Ellis is a graduate of Stanford University and is a CFA charterholder. He has spoken to over 20 CFA Societies, as well as industry events in Europe and Asia.
For more information on fixed income attribution on FactSet, e-mail pa@factset.com
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