TY - JOUR T1 - Bond Portfolio Holding Period Return Decomposition JF - The Journal of Investing SP - 78 LP - 90 DO - 10.3905/joi.2017.26.2.078 VL - 26 IS - 2 AU - Robert Brooks AU - Kate Upton Y1 - 2017/05/31 UR - https://pm-research.com/content/26/2/78.abstract N2 - 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 ER -