A portfolio's return comes from two places in each holding — the coupon it paid and the change in its price — and the portfolio view and its performance page split the return across the holdings so each gilt's part can be read.
Two sources in every holding
A gilt held over a period can add to a portfolio's return in two ways. It pays its coupon, which is income, and its price changes, which is capital movement in the value of the position. Neither alone is the holding's return; the two together are. The portfolio view carries both: the P&L view of the positions table shows income beside the unrealised and realised figures for each holding, and the portfolio's performance page shows each gilt's contribution to the period's return in percentage points.
The period figure on the performance page is a Modified Dietz return: the gain over the period divided by the average capital employed, with each cash flow weighted by the share of the period it was invested for. That is what lets a purchase made part-way through count for the time it was actually held. The per-gilt contributions split that same return, so they add to the period figure rather than to a different one.
Coupon and price, side by side
The table below splits a period's return across three holdings with round numbers that are illustrative and not from any portfolio or report. The portfolio starts the period at £100,000, so a gain of £1,000 is one percentage point of the period's return.
| Holding | Coupon (income) | Price change | Total contribution | Of the period return |
| A | £1,200 | +£1,800 | +£3,000 | 3.0 points |
| B | £600 | +£900 | +£1,500 | 1.5 points |
| C | £200 | +£300 | +£500 | 0.5 points |
| Portfolio | £2,000 | +£3,000 | +£5,000 | 5.0 points |
The three holdings contribute three, one and a half, and half a percentage point, which add to the portfolio's five. Within each holding, the coupon and the price change are shown apart, so a reader can see that most of this illustrative portfolio's return came from price movement rather than income — a shape that would read very differently if the coupons were the larger part.
Percentage points are the common currency
The contributions are expressed in percentage points rather than pounds so they can be added up and compared. A holding's pounds of return mean little against a portfolio of a different size; its share of the period's return, in points, is comparable from one portfolio to another. The performance page also states the period it covers — a window is described by its two dates, and two windows of different lengths are not directly comparable, which is why the dates are printed beside each figure.
A period needs stored reports covering both of its ends. Where they are missing the page says so rather than reporting a return over a shorter window, because a return whose endpoints are not the dates printed would describe a period nobody asked about. That is the same discipline the attribution pages apply: a figure is only shown against the dates it actually covers.
From the portfolio down to one gilt
Attributing a return across holdings answers where the portfolio's gain came from. Attributing one holding's price move answers how that gilt's own return was made. The attribution tab on a gilt's own page, reached from the conventional gilts list, does the second: it splits the gilt's price move between two dates into carry, rolldown, variation and a residual, so the price contribution shown for a holding at the portfolio level can be taken apart at the gilt level. The two readings line up — the holding's price change is the total the gilt's attribution tab explains.
This is not realised P&L
Coupon and price contribution is about return over a period, on holdings whether or not they have been sold. Realised P&L is about positions already closed — the gain or loss settled when something is sold or redeemed. They are related but not the same cut. A coupon received is income in both a return reading and a P&L reading; a price rise is part of a period's contribution whether it is realised or not, but only enters realised P&L once the position is sold. Keeping the two cuts apart stops a paper gain being read as money banked, and stops a period's return being read as a settled result.
- Coupon contribution is the income a holding paid over the period.
- Price contribution is the change in the holding's value over the same period.
- Together they make the holding's contribution to the period's return, in percentage points.
- Realised P&L answers a different question: what has been settled on positions already closed.
It helps to read the two together. A holding with a large coupon contribution and a small price one behaved like income over the period; one with the reverse behaved like a price position. Over a period the mix describes what the portfolio was earning from, which is a reading of the return it delivered, not a guide to the return it will deliver next.
Background, not advice
This explains how a portfolio's return can be split across its holdings and between coupon and price, and how that reading differs from realised P&L; it is general background, not investment, tax or legal advice for any reader's circumstances. The figures above are illustrative, and the contributions for a real portfolio are computed from its trades and the marks at each of the report dates the period spans. A past contribution is a record of what happened, not a forecast of what will.