Decision-Driven Fixed Income Attribution

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1 Reeach am (Yanqiu) Zhong +44 (0) Diecto, Index, otfolio & Rik Solution Deciion-Diven Fixed Income Attibution - Match Attibution ith Invetment Deciion-Making oce Octobe 2012

2 Agenda Why e need attibution matche ith deciion-making poce Ho to align attibution ith deciion-making poce Cae tudy: The application 2

3 Why FI attibution hould match ith invetment poce 3

4 Fixed-Income Attibution Challenge Data volume and complexity Analyi mut be accuate and on time Multiple poce ithin fixed-income inveting Thee i no typical poce Cedit and Govenment management may equie diffeent appoache Complex deivative intument icing challenge Index data Souce: John Simpon, MAR Euope

5 The Fixed-Income Invetment oce Fit Deciion: Allocation to Diffeent Cuencie Second Deciion: Duation / Yield Cuve oitioning Each maket epeented a a epaate cuency Cuency hedging tategie may be ued Local inteet-ate and inflation may affect yield cuve and cuency ate y maket Oveall duation poition baed on manage vie of futue cuve movement Cuve poitioning, babell, buttefly etc. Thid Deciion: Allocation into ecto / bucket Secto Iue / Cedit Quality Maket-value oveeight v. pead duation oveeight Fouth Deciion: Select the bond Select the bond to coincide ith othe deciion Souce John Simpon, MAR Euope

6 The Implication fo Fixed-Income Attibution Fit Deciion: Allocation to Diffeent Cuencie Top-level Allocation Ye No Cuencie atition ucket Second Deciion: Duation / Yield Cuve oitioning Yield Cuve Model Global Local Duation Cuve Convexity & Ret Thid Deciion: Allocation into ecto / bucket Local Allocation atition + Weighting Total Retun Exce Retun Spead Retun Fouth Deciion: Select the bond Cedit Ticke Iue 6

7 Ho to Align attibution ith invetment poce 7

8 A Flexible Fixed-Income efomance Attibution Appoach Fou-Step Recuive oce 1) Retun plitting 2) Common facto outpefomance attibution 3) Exce etun attibution into ecto allocation and ecto management 4) Recuive application of the algoithm to exce etun management of each ecto Total Outpefomance Common Facto Exce Retun Secto Allocation Exce Retun Secto Management ucket 1 ucket 2 ucket N 8

9 Step 1 Retun Splitting Total Retun i plit into a lit of facto etun pe ecuity on a daily bai Detailed etun plitting fo volatility, motgage and inflation facto etc. ae alo poible Total Retun Inta-Day FX Cuve Volatility Spead Motgage Inflation Reidual Deivative ai Cuve Cay Cuve Change Spead Cay Spead Duation Spead Convexity 9

10 Step 2 Common Facto Attibution Flexible Cuency Attibution Detailed FX Outpefomance eakdon Outpefomance Unhedged FX allocation Hedged FX allocation FX/Local co-tem Funding cot advantage Hedging effect Flexible Repoting y cuency y any patition y intument FX Hedging Teatment FX pot, foad, ap and option Implicit Hedging FX Retun Attibution Out-pefomance due to the eighting diffeence in a cuency and the FX etun plu the exce of local depoit ove bae depoit (ik pemium). Any hedging outpefomance i alo included hee. Outpefomance due to eighting diffeence in a local maket and the pefomance of thi maket in the benchmak elative to the oveall benchmak Local Retun Attibution Outpefomance due to etun advantage of the potfolio ove the benchmak ithin a local maket 10

11 Step 2 Common Facto Attibution (Continued) Flexible Yield Cuve Attibution Cuve Retun (Outpefomance) = Cuve Cay + Cuve Change Cuve Change decompoition aallel (Duation) Key Rate (Cuve) Convexity & Ret of Cuve Flexible Cuve Attibution Conideation Choice of bae cuve Govt o Sap Sap pead attibution Refeence yield change Multi-cuency cuve attibution 11

12 Step 3 Flexible Exce Retun Attibution h h ( )( h) ( ) h Flexible Exce Retun Attibution Exce etun definition Weight definition Option to ue o not ue hudle ate h Secto / bucket definition 12

13 13 Step 4 Recuive Attibution k k k k i k k i k k i k Out ) (,, ottom-up ) )*( ( ) )*( ( ) )*( ( N N N ) ( ) ( ) ( N N N Top-Don Aet Allocation Common Facto Secuity Selection Allocated Facto

14 Cae Study: The Application 14

15 Cae Study otfolio: Euo-baed potfolio ith cuency ovelay and expoue to othe cuency maket enchmak: aclay Euo Aggegate 500MM Index Souce: OINT, aclay Reeach 15

16 Fit Deciion Top-Level Allocation Top-Level <> Cuencie Top-Level = Cuencie Local Outpef Local Outpef Inta-day Yield Cuve Exce Retun Attibution Local Maket Allocation Local Management Aet Allocation Secuity Selection USD EUR USD EUR Yield Cuve Aet Allocation Secuity Selection. 16

17 The Second Deciion Cuve Attibution GLOAL Cuve Attibution Cuve Outpef Global Cuve t. EUR 1.2 Cay: -4.1bp Duation: -23.9bp Cuve: 29.2bp Local Cuve Advantage USD 10.5 JY Note: atial epot only. 17

18 The Second Deciion Cuve Attibution (Continued) LOCAL Cuve Attibution Cuve Outpef CHF Cay: -1.7bp Duation: -17.9bp Cuve: -0.2bp... EUR 3.6 Cay: -4.4bp Duation: -14.5bp Cuve: 22.7bp Ret & Convx: -0.3bp EUR Local Cuve Attibution Note: atial epot only. 18

19 The Thid Deciion Allocation into Secto Exce of Cuve Attibution 19

20 The Thid Deciion Allocation into Secto (Continued) Spead Retun Attibution 20

21 Concluion: Match Attibution With Invetment oce I the potfolio multi-cuency? No Ye I cuency maket allocation citical? Ye Top-level Allocation Cuencie No Top-level Allocation atition ucket I yield cuve managed globally? Ye No Cuve Attibution Global Cuve Cuve Attibution Local Cuve Local Allocation Total Retun Exce Retun Spead Retun 21

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