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

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By Frank J. Fabozzi, Lionel Martellini, Philippe Priaulet

ISBN-10: 0471678902

ISBN-13: 9780471678908

With the intention to successfully hire portfolio options which may keep an eye on rate of interest threat 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 complicated Bond Portfolio administration , Frank Fabozzi, Lionel Martellini, and Philippe Priaulet have introduced jointly greater than thirty skilled bond industry execs that can assist you just do that.

Divided into six entire elements, complicated Bond Portfolio administration will consultant you thru the state of the art recommendations utilized in the research of bonds and bond portfolio administration. themes coated contain:

  • General history details on fixed-income markets and bond portfolio techniques
  • The layout of a technique benchmark
  • Various points of fixed-income modeling that may offer key elements within the implementation of a good portfolio and probability administration strategy
  • Interest price threat and credits danger administration
  • Risk elements concerned about the administration of a world bond portfolio

packed with in-depth perception and professional suggestion, complex Bond Portfolio administration is a helpful source for a person concerned or drawn to this significant undefined.

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Indeed, because liquidity contributes to portfolio risks and because trading costs subtract from portfolio returns, portfolios that optimize across the spectrum of known risks and returns will have an optimal amount of liquid bonds and an optimal turnover ratio. Decisions about trading and portfolio liquidity are part of the asset allocation decision. In this chapter, we analyze liquidity and trading costs from several perspectives. We begin with a description of the secondary market, focusing on the role of dealers in determining the bid-ask spread.

Liquidity begets liquidity. For less liquid bonds, indicative quotes are not firm markets, bidask spreads are wide, and transaction amounts tend to be small. The vast majority of corporate bonds trade only infrequently. For most individual corporate bonds, the market is neither smooth nor continuous. In the securitized product markets—agency and nonagency residential mortgage-backed securities (MBS), commercial MBS, asset-backed securities (ABS), and collateralized debt obligations (CDO)—there are varying degrees of liquidity.

The portfolio and its performance must now be evaluated. The analysis of the portfolio’s performance is referred to as an ex post analysis. There are three parts of the portfolio evaluation: selection of a benchmark, evaluation of returns, and evaluation of risks as measured in terms of tracking error. Selection of a Benchmark Before one can evaluate how a portfolio did, one has to know what it was supposed to do. 5% in 2004. 5% return was excellent for a short-term bond fund but terrible for a high-yield bond fund.

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Advanced bond portfolio management: best practices in modeling and strategies by Frank J. Fabozzi, Lionel Martellini, Philippe Priaulet

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