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The chart above shows the out-performance allocation between our different strategies, giving us a total out-performance of 99 bps over the index for the year 2002. It was prepared from holdings and performance reports. In many instances the attribution was to more than one strategy, therefore we have generally rounded the allocation to 5 bps. increments. For instance, an investment in Poland, relying on its yield curve to dis-invert was very much dependent – due to currency exposure concerns – on an in-the-money option structure. This trade’s performance was then due to a combination of strategies. The chart above shows the out-performance allocation between our different strategies, giving us a total out-performance of 201 bps. It was prepared from holdings and performance reports. In many instances the attribution was to more than one strategy, therefore we have rounded the allocation to 5 bps. increments. For instance, an investment in New Zealand yield curve slope was very much dependent – due to currency exposure concerns – on a forward swap structure. This trade’s performance was due to a combination of strategies.

A more detailed discussion of attribution, with some examples, follows. Not included are 5-10 bps we garnered due to quick retrenchment into US treasuries immediately following the Sept. 11th attacks. Our annualized monthly-tracking error was 60 bps.

. 1. Source: Banc of America Capital Management, LLC. Numbers are AIMR compliant. The index is the Salomon Brothers World Government Bond Index, x-US and USD hedged.
Past performance is not a guarantee of future results. International Fixed Income investment may involve investments in currencies which may fluctuate in value, and thereby add additional risk to the portfolio.