Campisi Performance Attribution for Pure Bond Funds

Summary

This document introduces the Campisi model as a framework for explaining the performance of pure bond funds. It describes decomposing a fund’s total return and excess return into four sources: income, government-bond effects, spread effects, and security selection. This breakdown is intended to help distinguish return earned from income and broad rate or spread movements from the contribution of bond selection.

The article says it also examines how to estimate important inputs such as fund duration and how to choose a suitable performance benchmark, then applies the model in an empirical study of pure bond funds. However, the supplied text contains only this overview and points to a separate PDF for the analysis. It does not provide equations, fund names, sample dates, numerical findings, or details of the implementation. The description therefore conveys the attribution categories and practical choices the model requires, but does not allow readers to assess the empirical results or reproduce the analysis from this excerpt alone.

Key ideas

• The Campisi framework attributes pure bond fund returns to four effects: income, government bonds, spreads, and security selection.
• It can be used to decompose both total return and excess return.
• Fund duration estimation is a key implementation choice.
• Benchmark selection also affects the interpretation of attribution results.
• The provided excerpt summarizes an empirical application but does not include its methods or findings.

Tags

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