1. introduction

1.1. performance Attribution

1.2. Fixed income performance Attribution

2. theoretical framework

2.1. Fixed income return decomposition

2.2. yield curve construction

2.3. yield curve decomposition

2.4. linking return effects to multiple periods

3. inssues in practice

3.1. data quality

3.2. cash flows and management fees

3.3. gross/ net basis

3.4. replicating the benchmark in general

4. characteristics of the portfolio analyzed

4.1. constraints on the portfolio

4.2. style of portfolio manager

4.3. setup of the fixed income performance analysis

5. the results

5.1. the FIPA attribution for the global portfolio

5.2. the key ratios

6. interpretation

6.1. excess return and FIPA factors

6.2. performance on a risk – adjusted basis

7. conclusion

8. acknowledgments

9. references

10. appendix