Campisi Attribution for Analyzing Pure Bond Fund Returns

Summary

This account describes applying the Campisi model to attribute pure bond fund returns using portfolio holdings and a benchmark. It separates total and excess returns into four effects: coupon income, government-bond yield changes, credit-spread changes, and security selection. Comparing each fund effect with the corresponding benchmark effect helps identify sources of performance and assess a manager’s contribution. Before attribution, the method requires estimates of parameters such as starting duration and a suitable benchmark; the article discusses holdings-based and return-regression approaches to duration estimation.

The reported analysis covers Chinese public pure bond funds over multiple quarters. In two examples, income was the largest contributor to total return. Across the broader sample, income was described as a stable, common return source, while differences in total return and alpha were mainly associated with security-selection effects. The authors report that a group selected for strong, stable selection effects often ranked well in subsequent returns. These findings are specific to the studied sample and period; attribution depends on estimates and benchmark choice, and the summary does not establish that the selection finding will persist.

Key ideas

• Campisi attribution divides bond fund returns into income, government-rate, credit-spread, and security-selection effects.
• Excess-return attribution compares each fund effect with the corresponding benchmark effect.
• The method requires estimates of duration and other inputs, plus a benchmark suited to the fund.
• The reported sample found coupon income to be a stable return source and security selection to explain much of the variation among funds.
• The reported selection results depend on the sample, period, estimates, and benchmark choices.

Tags

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