Fixed-Income Portfolio Analytics: A Practical Guide to by David Jamieson Bolder

By David Jamieson Bolder

The e-book bargains an in depth, powerful, and constant framework for the joint attention of portfolio publicity, threat, and function throughout quite a lot of underlying fixed-income tools and possibility components. via large use of useful examples, the writer additionally highlights the required technical instruments and the typical pitfalls that come up whilst operating during this zone. ultimately, the publication discusses instruments for checking out the reasonableness of the foremost analytics to aid construct and keep self assurance for utilizing those innovations in day by day choice making. this may be of prepared curiosity to chance managers, analysts and asset managers accountable for fixed-income portfolios.

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Additional info for Fixed-Income Portfolio Analytics: A Practical Guide to Implementing, Monitoring and Understanding Fixed-Income Portfolios

Sample text

50, 745–787 (2003) 18 1 What Is Portfolio Analytics? 3. C. Bernadell, J. Coche, K. Nyholm, Yield curve prediction for strategic investors. European Central Bank Working Paper No. 472, April 2005 4. P. D. L. Beehower, Determinants of portfolio performance ii: An update. Financ. Anal. J. 47(3), 40–48 (1991) 5. X. Diebold, M. D. Rudebusch, Modeling bond yields in finance and macroeconomics. Federal Reserve Bank of San Fransisco Working Paper 2005-04, January 2005 6. X. D. B. Aruoba, The macroeconomy and the yield curve: a nonstructural analysis.

Without a clear understanding of a portfolio’s characteristics relative to the benchmark, one cannot actually know if one has taken, or continues to take, a passive stance or is unknowingly undertaking active positions. There is an exception to this rule. The only time one is uninterested in relative portfolio characteristics is when one perfectly replicates the strategic benchmark. Perfect replication implies holding precisely the same set of instruments in precisely the same weights as the benchmark.

F. Fama, Components of investment performance. J. Finance 17, 551–567 (1972) 8. F. R. French, Common risk factors in the returns on stocks and bonds. J. Financ. Econ. 33, 3–56 (1993) 9. B. Gordy, A comparative anatomy of credit risk models. Board of Governors of the Federal Reserve System, December 1998 10. R. Hood, Determinants of portfolio performance: 20 year later. Financ. Anal. J. 61, 6–8 (1986) 11. G. D. Kaplan, Does asset allocation policy explain 40, 90 or 100 percent of performance. Financ.

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