The Anatomy of Credit Returns: Return Attribution at Issue Level

Key Points

• The study aims to introduce and validate a new framework for analyzing corporate bond returns at the issue level.
• Developed Return Attribution at Issue Level (RAIL) framework for bond analysis.
• Decomposed returns into systematic and security-specific components.
• Facilitated both individual trade tracking and portfolio-level performance insights.
• RAIL provides clearer performance analysis compared to traditional methods.
• Enables bond-by-bond review while maintaining aggregation capabilities for larger portfolios.
• Supports validation of systematic credit strategies.

Abstract