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The authors provide the reader with an extensive tool set for active and successful management of fixed income portfolios as well as for credits. The focus of discussion is on quantitative and, for credits, qualitative methods of portfolio management. These strategies may be employed for portfolio diversification and in order to outperform the benchmark. Methods applicable for different risk factors - duration, yield curve, basis, volatility and credit management - are illustrated in detail using a top-down and bottom-up approach. Several examples are presented to show the practical relevance of the theoretical models and approach.
List of contents
ACTIVE DIVERSIFICATION OF FIXED-INCOME PORTFOLIOS The Investment Process and Benchmark Selection Tactical Allocation and its Building Blocks Top-down Approach for a Euroland Portfolio DURATION MANAGEMENT Factors Influencing Duration Management Decision-Making Methods for Duration YIELD CURVE MANAGEMENT Market Directionality of Yield Curves Barbell Analysis Strips Rolldown Analysis Box Trade Analysis BASIS MANAGEMENT Cheapest-to-Deliver Analysis Delivery Option Calendar Spreads Portfolio Replication VOLATILITY MANAGEMENT Volatility and Yields Yield Volatility Option Risk Parameters Efficient Gamma Trading Options Markets and Economic Data Releases CREDIT MANAGEMENT Introduction Characteristics of Corporate Bonds The Top-Down Approach Merton's Approach to Evaluating a Corporate Bond Market Drivers of Credit Spreads Efficient Frontiers and the Sharpe Ratio Industry Selection The Bottom-Up Approach Indentures of Corporate Bonds Corporate Bonds and Defaults
About the author
FRANK HAGENSTEIN is Head of Credit Fund Management at Union-Investment, Germany.
DR. TIM BANGEMANN is a Government Bond Trader at UBS Warburg, London.
Summary
The authors provide the reader with an extensive tool set for active and successful management of fixed income portfolios as well as for credits. The focus of discussion is on quantitative and, for credits, qualitative methods of portfolio management. These strategies may be employed for portfolio diversification and in order to outperform the benchmark. Methods applicable for different risk factors - duration, yield curve, basis, volatility and credit management - are illustrated in detail using a top-down and bottom-up approach. Several examples are presented to show the practical relevance of the theoretical models and approach.
