Bond Fund Evaluation and Adjusted Campisi Performance Attribution
Summary
The report reviews how to assess pure bond funds using disclosed portfolio data, covering asset allocation and leverage, bond-type exposure, concentration, duration, and turnover. It then explains bond performance attribution, contrasting Campisi with Brinson and weighted-duration approaches. Campisi separates coupon income from price change, with price effects attributed to government-rate moves and changes in credit or other risk spreads.
Because domestic fund reports disclose only a fund’s five largest bond holdings, the report adjusts Campisi: attribute returns for those holdings individually, then aggregate by weight. In a simulated portfolio, income was relatively steady and a substantial return component; rate and spread effects varied with market moves. Since that portfolio did not rebalance, its security-selection effect remained positive. For funds with less concentrated top-five holdings, the report also uses disclosed interest income and fund duration to estimate fund-level income and rate effects, and presents one fund example. These findings are constrained by partial holdings disclosure and the examples; the positive selection result in an unrebalanced simulation does not establish general manager skill.
Key ideas
- Pure bond fund analysis can use disclosed data on leverage, bond mix, concentration, duration, and turnover.
- Campisi attribution divides bond returns into coupon income and price effects from government rates and risk spreads.
- The adjusted method attributes returns to disclosed top holdings individually, then weights their components to estimate portfolio effects.
- Fund-level interest income and duration can substitute for some missing security data when top holdings are not representative.
- Positive selection effects in the examples depend on their setup and do not prove skill across funds.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.