Factor Models in Performance Analysis

Gueorgui S. Konstantinov, Frank J. Fabozzi and Joseph S. Simonian

Chapter 10 in Quantitative Global Bond Portfolio Management, 2023, pp 301-328 from World Scientific Publishing Co. Pte. Ltd.

Abstract: Global bond portfolio managers use factor models for different purposes. Some factor models are utilized ex ante within the optimization process, while others are used in in order to understand portfolio behavior ex post. In this chapter, we focus on the latter application — explaining bond portfolio risk and return. We place special emphasis on model specification given that different types of bond portfolios may require different models to explain their behavior…

Keywords: Fixed-Income; Currency Management; Portfolio Management; Risk Management; Factors; Portfolio Optimization; Hedging; Portfolio Evaluation; Performance Attribution (search for similar items in EconPapers)
JEL-codes: G11 G12 G15 (search for similar items in EconPapers)
Date: 2023
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