Fixed income attribution in PEARL

Unearth the drivers behind fixed income performance across yield curve shifts, reshaping, pricing and trading effects.

PEARL’s fixed income attribution capabilities provide investment teams with a flexible and configurable tool that can handle the complexities of modern portfolio management.

Measure and analyze local government bond mandates, global credit portfolios, and emerging market debt with models designed to accommodate each investment decision.

Combine attribution analyses across asset classes to deliver a comprehensive view of fixed income’s contribution to total investment fund performance.

Why PEARL’s fixed income attribution?

Simplify data demands and configuration with a parametric model
Apply models using bottom-up, top-down, or hybrid methodologies
Include additional effects, such as pricing effects versus the benchmark, trading effects versus end-of-day pricing, as well as allocation of residuals to credit effects
Group securities in nested layers to reflect the investment decision process, with corresponding yield curve effects
Specify yield curves derived from market indices, portfolio holdings, or directly loaded from third party data sources

Tailored model for each portfolio

A tailored model for each portfolio

Configure multiple analyses that can be combined across new or existing portfolios dynamically, enabling a comprehensive understanding of individual return drivers all through PEARL’s proprietary workflow - an intuitive, user-friendly interface.

Deeper insights in fixed income attribution

Unlock deeper insights in fixed income attribution with tailored yield curves

Build and manage specialized yield curves for fixed income and private credit assets and non-market properties with the derivable yield curve module - deriving curves from any combination of market indices or portfolio holdings for detailed analysis beyond standardized models.

Combine with other attribution models

Understand how equity effects contribute to total investment fund performance with attribution. Adjust results by each portfolio’s weight in the overall fund to deliver consistent analysis across asset classes including fixed income, multi-asset and private assets. This serves as a critical building block for enabling decision-based attribution.