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New Fixed Income Research Paper: "Performance Measures in Fixed Income Markets"


Natixis AM’s Fixed Income investment division is pleased to present its latest research publication. Composed by the Quantitative Research and Analysis team, the document highlights the theme of performance measure.

“A question often asked by investors is “What is the performance of my portfolio?” and by extension, is my portfolio performing well or not?
[...] In the first section of this paper, we thus recall the classic definition of performance and its components, and highlight the crucial role of the investment period. [...] In the second section, we describe the difficulties linked to measuring performance on illiquid assets, especially when compared to standard benchmarks, and discuss some paradoxical results. [...] In the third section, we focus on the tricky problem of measuring performance in the insurance world and propose solutions which allow us to compare the performance of insurance portfolios against a reference.”

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