Descomposición del retorno de una cartera de renta fija argentina (performance attribution)

Abstract

The purpose of this document is to develop the concept of performance attribution, a profitability analysis discipline for investment portfolios that seeks to decompose the total return of a portfolio among the factors that gave rise to it. The background, the general characteristics of the discipline and the main existing models for equity and fixed income portfolios will be reviewed. In addition, the technique will be applied to a real portfolio of Argentine sovereign, sub-sovereign and corporate bonds denominated in dollars, following Campisi’s (2011) framework.