Download Advanced bond portfolio management: best practices in by Frank J. Fabozzi, Lionel Martellini, Philippe Priaulet PDF

By Frank J. Fabozzi, Lionel Martellini, Philippe Priaulet

For you to successfully hire portfolio ideas which can keep an eye on rate of interest possibility and/or improve returns, you need to comprehend the forces that force bond markets, in addition to the valuation and danger administration practices of those complicated securities. In complex Bond Portfolio administration , Frank Fabozzi, Lionel Martellini, and Philippe Priaulet have introduced jointly greater than thirty skilled bond marketplace execs that can assist you just do that.

Divided into six finished components, complicated Bond Portfolio administration will consultant you thru the state of the art innovations utilized in the research of bonds and bond portfolio administration. subject matters coated contain:

  • General historical past info on fixed-income markets and bond portfolio concepts
  • The layout of a technique benchmark
  • Various features of fixed-income modeling that would offer key components within the implementation of an effective portfolio and chance administration strategy
  • Interest expense threat and credits possibility administration
  • Risk elements fascinated by the administration of a global bond portfolio

packed with in-depth perception and specialist recommendation, complicated Bond Portfolio administration is a worthwhile source for someone concerned or attracted to this crucial undefined.

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Extra resources for Advanced bond portfolio management: best practices in modeling and strategies

Example text

S. Treasuries or other high-quality bonds, but the realized excess return depends on a number of factors, not just the spread. To identify the factors that contribute to excess returns, we begin with a simple example of a bond swap. In our example, the investor is buying Bond A and selling Bond B. Initially, we will analyze the general case where the bonds do not necessarily have equal durations, and we will not address the cost of trading. Later in this chapter, we analyze duration-neutral swaps and trading costs, as well as the role of uncertainty.

Overall the total return approach and the liability funding approach are the traditional approaches. The unified approach (or active alpha approach) is more recent, more flexible, and requires liquid derivatives instruments. It may also provide more latitude and more responsibility to the CIO and portfolio mangers. Managing market risk should be easy and cheap. Managing alpha risk may be difficult and more expensive. 14 BACKGROUND EX POST PORTFOLIO EVALUATION ANALYSIS Assume that a portfolio has been developed corresponding to a specified investment strategy.

The second risk/return type is a portfolio that provides market risk: either stock market risk (measured by beta) or bond market risk (measured by duration). The return to this portfolio is the stock market return (corresponding to the beta achieved) or the bond market return (corresponding to the duration achieved). The market risk portfolio could also be, rather than a pure beta or duration portfolio, a combination of a beta portfolio for stocks and a duration portfolio for bonds; that is, an asset allocation of market risk.

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