Bond Fund Performance Attribution with Campisi and Brinson Models

Summary

This report describes using Campisi and Brinson models to analyze the performance and investment styles of bond funds, with fund selection for fund-of-funds managers as the motivation. It notes that bond fund valuation and disclosure challenges make attribution difficult. Campisi separates bond returns into income, government bond, and credit spread effects, which can help identify the sources of fund performance and the manager preferences behind them.

The summary reports that income contributes more than 45% of overall performance, while government bond and spread effects contribute about 20% each. Income has much lower volatility than the other effects, so differences in bond portfolio returns are attributed mainly to government bond and spread effects. Leverage, income, and duration related returns are also presented as clues to managers’ positioning preferences. These are reported findings, but the document provides no underlying sample details, calculations, or evidence in the text; the linked report is not included here.

Key ideas

• Campisi attribution divides bond fund returns into income, government bond, and credit spread effects.
• The report uses Campisi and Brinson models to study bond fund performance and style.
• Fund leverage can indicate a manager’s preference for using borrowed exposure.
• Income effects contribute a large share of total performance but have comparatively low volatility.
• Government bond and spread effects account for much of the variation in returns.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.