The authors would like to thank Lev Dynkin for introducing us to the concept of performance attribution, Jay Hyman for many insightful ideas over the years and Attakrtit Asvanunt who was instrumental in the development of many concepts in this chapter.

1. For another discussion of the hybrid performance attribution model also see Chapter 27 in Lev Dynkin, Anthony Gould, Jay Hyman, Vadim Konstantinovsky, and Bruce Phelps, Quantitative Management of Bond Portfolios (Princeton University Press, 2007).