与利率、FX、利差和剩余市场风险相关的业绩归因
Performance attribution with respect to interest rates, FX, carry, and residual market risks
摘要：
我们开发了一种方法，将资产组合的PnL分解为四个部分：（a）由于汇率变化的PnL，（b）由于利率变化的PnL，（c）由于时间推移的结转收益，（d）由于剩余市场风险变化（信用风险，流动性风险，波动性风险等）的PnL。我们通过分解我们的基金XAIA Credit Basis II中外汇和利率对冲负基差头寸的表现来证明我们方法的有用性，并且我们应用该方法将我们的基金XAIA Credit Debt Capital在2022年第一季度的表现分解为单个头寸的PnL贡献。
英文摘要：
We develop a method to decompose the PnL of a portfolio of assets into four parts: (a) PnL due to FX rate changes, (b) PnL due to interest rate changes, (c) carry gain due to time passing, (d) PnL due to residual market risk changes (credit risk, liquidity risk, volatility risk etc.). We demonstrate the usefulness of our approach by decomposing the performance of an FX- and interest rate-hedged negative basis position in our fund XAIA Credit Basis II, and we apply the methodology to decompose the performance of our fund XAIA Credit Debt Capital in the first quarter of 2022 into PnL contributions of the single positions.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
