@article {Brooks78, author = {Robert Brooks and Kate Upton}, title = {Bond Portfolio Holding Period Return Decomposition}, volume = {26}, number = {2}, pages = {78--90}, year = {2017}, doi = {10.3905/joi.2017.26.2.078}, publisher = {Institutional Investor Journals Umbrella}, abstract = {Bond portfolio holding period returns are decomposed into four macro components: horizon, spot rate, spread, and interaction. The spot rate and spread could be decomposed further based on modified duration, convexity, and cross-convexity, each of which could be further decomposed into three subcomponents tied to level, slope, and curvature. Applying a parsimonious version of this model to the Morningstar universe of bond funds explains approximately 56\% of the variability of the returns. Thus, we provide a powerful approach to attribution of bond fund performance, aiding the many different stakeholders in their efforts to improve their decision-making process.TOPICS: Fixed income and structured finance, fixed-income portfolio management, performance measurement}, issn = {1068-0896}, URL = {https://joi.pm-research.com/content/26/2/78}, eprint = {https://joi.pm-research.com/content/26/2/78.full.pdf}, journal = {The Journal of Investing} }