By Frank J. Fabozzi, Lionel Martellini, Philippe Priaulet
In an effort to successfully hire portfolio suggestions which can keep an eye on rate of interest probability and/or increase returns, you need to comprehend the forces that force bond markets, in addition to the valuation and possibility administration practices of those advanced securities. In complicated Bond Portfolio administration , Frank Fabozzi, Lionel Martellini, and Philippe Priaulet have introduced jointly greater than thirty skilled bond industry pros that will help you do exactly that.
Divided into six complete components, complicated Bond Portfolio administration will advisor you thru the state of the art suggestions utilized in the research of bonds and bond portfolio administration. issues lined comprise:
- General historical past details on fixed-income markets and bond portfolio concepts
- The layout of a method benchmark
- Various facets of fixed-income modeling that might supply key materials within the implementation of a good portfolio and chance administration procedure
- Interest price danger and credits danger administration
- Risk elements all for the administration of a world bond portfolio
full of in-depth perception and professional suggestion, complex Bond Portfolio administration is a priceless source for an individual concerned or attracted to this crucial undefined.
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Additional info for Advanced bond portfolio management: best practices in modeling and strategies
Fourth, liquidity varies over time. Stable markets are usually liquid markets. In stable markets, bid-ask spreads are relatively narrow, and size does not generally imply a large concession in price. By contrast, volatile markets, especially bear markets, are notoriously illiquid. During bear markets, bid-ask spreads widen, and it often becomes all but impossible to trade in large size. Fifth, bid-side liquidity causes more angst and sleepless nights than offered-side liquidity. The Institutional Market Structure: Bond Dealers and the Bid-Ask Spread Trading is costly.
Along with analyzing information that is specific to the borrower, investors also evaluate information that is specific to the bond issue, such as its face value, maturity, covenants, seniority, and option and redemption features. Other factors held constant, bonds with standard features have low information costs because they are relatively easy to evaluate. Conversely, a complicated security will have lower liquidity and higher information costs, even if other securities issued by the same borrower are very liquid.
This is a simulated portfolio, not an actual portfolio and, thus, has no expenses or transaction costs associated with it. The Lehman Brothers Aggregate Index, High Yield Index, Municipal Index, and Intermediate Term Index are examples of bond market indexes. The second kind of benchmark is managed portfolios that are actual portfolios whose actual returns—usually after expenses and transaction costs—are collected and averaged for similar types of actual portfolios. For example, Morningstar and Lipper categorize fixed income mutual funds into cells, collect return data on these funds, and average the returns for funds in a cell on a market capitalization-weighted basis and then report these averages.
Advanced bond portfolio management: best practices in modeling and strategies by Frank J. Fabozzi, Lionel Martellini, Philippe Priaulet