关键词: 债券投资组合, 业绩归因, Campisi模型, 多期归因

Abstract: Currently, the domestic researches on performance attribution mainly start from management level, and the source of excess return would be attributed to the ability of timing and selection. However, this method isn't suitable for bond portfolio. Based on the Campisi model, this paper analyzes the bond pricing formula, studies the excess return of the portfolio from the characteristics of the bond itself, and combines with the GRAP inter-temporal approach to form multi-period attribution model. Then we use this new model to analyze the performance attribution of long-term bond portfolio. Compared to a single-period attribution model, the inter-temporal attribution model can be used for any time during one period. The excess returns of the portfolio during the time are not the simple sum of the single-period attributions. This paper uses the CSI Aggregate Bond Index as a benchmark to conduct an empirical study of the portfolio of 32 bonds. The results show that the model is in line with market conditions and actual operating conditions. Therefore, the multi-period performance attribution research proposed in this paper is practical.

Key words: bond portfolio, performance attribution, Campisi Model, multi-period attribution