IDEAS home Printed from
   My bibliography  Save this article

A generic framework for monetary performance attribution


  • Blomvall, Jörgen
  • Hagenbjörk, Johan


We propose a generic framework for performance attribution in monetary terms. Through a second-order Taylor approximation, the changes in portfolio value are attributed to a set of systematic risk factors. By considering two error terms arising from the Taylor approximation, combined with an exact definition of the carry term, we derive a residual-free performance attribution framework, where we exert control over the size of the error terms. The framework incorporates foreign exchange rates and transaction costs, which is illustrated by simulating a European investor acting on the U.S. fixed income market. For the out-of-sample period, we show that we can attribute almost all portfolio value differences and variance using six risk factors obtained from principal component analysis. The results show that our method, in combination with high-quality estimates of risk factors, outperforms other fixed-income attribution models from the literature.

Suggested Citation

  • Blomvall, Jörgen & Hagenbjörk, Johan, 2019. "A generic framework for monetary performance attribution," Journal of Banking & Finance, Elsevier, vol. 105(C), pages 121-133.
  • Handle: RePEc:eee:jbfina:v:105:y:2019:i:c:p:121-133
    DOI: 10.1016/j.jbankfin.2019.05.021

    Download full text from publisher

    File URL:
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to search for a different version of it.


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jbfina:v:105:y:2019:i:c:p:121-133. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.