to be faced include many more risk factors than in the equity world much more complex instrument types new types of instrument continually appear no standard approach to attribution – sector, yield-curve based, factor based While there remain numerous challenges to solve, the state of fixed income attribution is much less murky than was the case even five years ago. The reasons include better third-party software systems more demanding users easier access to data cheaper and more powerful computing systems better understanding of how to perform attribution References Moulin, S. (2018) Bacon, C. (2004). Practical portfolio performance measurement and attribution, Wileys Bolder, D. and Stréliski, D. (1999). Yield Curve Modelling at the Bank of Canada. Bank of Canada, Technical Report No. 84 Colin, A.M. (2005). Fixed income attribution, Wileys Colin, A.M. (2016). Mastering attribution in finance, Pearsons/FT Press Diebold, F.X. and Li, C. (2006). Forecasting the term structure of government bond yields. Journal of Econometrics, 130, pp. 337–364 Dynkin, L., Hyman, J., Vankudre, P., (1998). Attribution of portfolio performance relative to an index, Lehman Brothers Fixed Income Research, March Ho, T. (1992). Key rate durations: measures of interest rate risk, Journal of Fixed Income, 2, pp. 29–44 Nelson, C.R., Siegel, A.F. (1987). Parsimonious modeling of yield curves, Journal of Business, 60(4), pp. 473–489 Phoa, W. (1998). Advanced fixed income Analytics, Frank Fabozzi Associates Svensson, L. (1994). Estimating and Interpreting [sic] Interest Rates: Sweden 1992–1994, Papers 579 – Institute for International Economic Studies. Attribution