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Special Report on

Performance attribution for bond portfolios

performance attribution for bond portfolios special research report Photo by www.interactivedata-fia.com
the slope of the yield curve, and the credit spreads of the bonds in the portfolio. A portfolio manager may hold firm views on the ways in which these factors will change in the near future, so in three separate risk decisions he positions the assets in the portfolio to take advantage of the expected forthcoming market movements. If all views subsequently prove to be correct, then each decision will generate a profit. If one view is wrong, it will generate a loss, but the effect of the other bets may compensate. The overall performance will then be the sum of the performance contributions from each source of risk. Attribution is ...
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Mutual Funds- Are They Worth Your While? Part Two | Everything You ...
In part one of this series, I spoke about some of the pros and cons of mutual funds. I let you know that there are a number of expenses that come with investing in a mutual fund, including the high price of management fees and brokerage fees that come with trading frequently. But, the fund manager is bound by a responsibility to find the best deals on commission for you that she or he can. Also, the expertise of a fund manager can be quite helpful for beginners when they start to invest. Also, a number of mutual funds offer more than one class of shares. The way it works is like this: every class invests in the same pool of ... market research, surveys and trends
A Guide to Forensic Accounting Investigation or Quantitative ...
Today's demanding marketplace expects auditors to take responsibility for fraud detection, and this expectation is buoyed by such legislation as the Sarbanes-Oxley Act and the Auditing Standard (SAS99), which requires increased performance on the part of the auditor to find material financial statement fraud. Written by three of the best forensic accountants and auditors, Thomas W. Golden, Steven L. Skalak, and Mona M. Clayton, The Auditor's Guide to Forensic Accounting Investigation explores exactly what assurances auditors should provide and suggests alternatives to giving the capital markets more of what they are ... market research, surveys and trends

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PERFORMANCE ATTRIBUTION FOR BOND PORTFOLIOS

Performance Attribution for Fixed Income Portfolios Presentation ...
The Duration/Allocation/Selection performance attribution framework ..... Percent Invested Snapshot. P A G E 27. THE WILSHIRE AXIOM ..... and performance. Bank Loan. Bond. Cash. Commercial Paper. Convertible Bond. Emerging Market Debt ... for nightly processing. More than 3.5 million securities covered in ... industry trends, business articles and survey research
Hedging Interest Rate Risk to Protect Corporate Bond Returns
Mar 3, 2010 ... states are expected to issue more than €900 billion in 2010, while ... lower the potential returns corporate bond portfolios can ... Chart 1: Performance Attribution ... of four years, a one percent interest rate increase across the ... little scope for rates to fall further and corporate bond ... industry trends, business articles and survey research
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INFORMATION RESOURCES

A Performance Attribution Model For Fixed-Income Portfolios ...
of performance attribution for fixed-income portfolios rely on an additive approach to sum up ... to maturity in the federal bond market1 for securities of ... technology research, surveys study and trend statistics
Table of contents for Essentials of investments
Contents data are machine generated based on pre-publication provided by the publisher. Contents may have variations from the printed book or be incomplete or contain other coding. Contents Part ONE Elements of Investments 00 1 Investments: Background and Issues 00 1.1 Real Assets versus Financial Assets 00 1.2 A Taxonomy of Financial Assets 1.3 Financial Markets and the Economy The Informational Role of Financial Markets 00 Consumption Timing Allocation of Risk Separation of Ownership and Management Corporate Governance and Corporate Ethics 1.4 The Investment Process 1.5 Markets Are Competitive The Risk-Return Trade-Off ... technology research, surveys study and trend statistics
Dynkin, L., Gould, A., Hyman, J., et al.: Quantitative Management ...
The practice of institutional bond portfolio management has changed markedly since the late 1980s in response to new financial instruments, investment methodologies, and improved analytics. Investors are looking for a more disciplined, quantitative approach to asset management. Here, five top authorities from a leading Wall Street firm provide practical solutions and feasible methodologies based on investor inquiries. While taking a quantitative approach, they avoid complex mathematical derivations, making the book accessible to a wide audience, including portfolio managers, plan sponsors, research analysts, risk managers, ...
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PERFORMANCE ATTRIBUTION FOR BOND PORTFOLIOS
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QUESTIONS AND ANSWERS
Question: Market size of fixed income asset classes
Hi, I am interested in understanding the economics and market sizes behind a few specific fixed-income asset classes in the U.S. In particular: - What is the size of the 'convertibles' asset class in terms of the investment that insurance companies (ideally) else institutional investors overall invest in. i.e. I am an insurance company and I invest say 50% in municipal bonds, 20% in equities and 1-2% (???) in convertible securities. What proportion of my investments are convertibles? [Convertibles are securities that are bonds but have the option to be converted into equity and the lenders option.] - If I am ...
How do you get above-risk-adjusted-return in investment ...
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