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2002 | Buch

Active diversification of fixed-income portfolios Kapitel lesen Erstes Kapitel lesen

Active Fixed Income and Credit Management

verfasst von: Frank Hagenstein, Tim Bangemann, PhD

Verlag: Palgrave Macmillan UK

Buchreihe : Palgrave Macmillan Finance and Capital Markets Series

Enthalten in: Professional Book Archive

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Über dieses Buch

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.

Inhaltsverzeichnis

Frontmatter
Chapter 1. Active diversification of fixed-income portfolios
Abstract
Portfolio management is a structured investment process which comprises the following sections:
  • strategic asset allocation (fundamental, long-term perspective)
  • tactical asset allocation (short-term assessment, and hence tactical)
  • performance and risk analysis (performance measurement).
Frank Hagenstein, Tim Bangemann
Chapter 2. Duration management
Abstract
The process of duration management is a combination of different components. Economic trends play an important role, as do expectations regarding central bank policy. Technical analysis, which can be employed to improve the timing of trading decisions and to help set disciplined stop-loss levels, is also useful. The issuance calendar of government bonds (for example, Bund), investor flows and positioning, and the market sentiment are all relevant. It is worth noting that in past times of longlasting interest-rate trends, mainly the decreasing rates during the 1990s, investors used the low-inflation environment to overweight duration (versus benchmark), but this turned out to be counterproductive during the bear markets in 1994 and 1999.
Frank Hagenstein, Tim Bangemann
Chapter 3. Yield curve management
Abstract
The German IFO Index is a general business-climate index compiled monthly by consulting approximately 10,000 companies throughout Germany. In the October 2001 IFO survey, German business confidence showed the largest monthly decline since November 1973. A fall of this magnitude was partly attributable to the terrorist attacks of 11 September 2001.
Frank Hagenstein, Tim Bangemann
Chapter 4. Basis management
Abstract
All important government bond markets are driven by bond futures, and cash bonds are priced off these futures. The price of a cash bond is a function of the futures price and the bond basis, which quantifies the relationship between the future and a cash bond. It is therefore important to understand the functionality of the bond basis. As bond futures are being used more and more in the fund-management industry, this section covers in detail the valuation of bond futures and calendar spreads, in order to achieve optimal timing in positioning in bond futures.
Frank Hagenstein, Tim Bangemann
Chapter 5. Volatility management
Abstract
Volatility expresses the dispersion of the price or yield of a financial instrument from its mean, which can be measured for example on a daily, weekly or annual basis. One differentiates between implied (projected or expected) and historical volatility. Implied volatility is the volatility as implied by options prices traded in the market: in the following the focus will be mainly on implied volatility and its possible applications.
Frank Hagenstein, Tim Bangemann
Chapter 6. Credit management
Abstract
In general, credits (all non-government bonds) offer investors a yield pick-up and additional diversification potential, and this has resulted in a sharp increase in demand for higher-yielding corporate bonds relative to government bonds. Companies, on the other hand, consider the issuance of bonds as an alternative financing source, which gives them more financial flexibility. Banks try to reduce their exposure to corporate loans because they are not willing to carry the credit risk any more; also, the margins in syndicated loans have been diminishing over the last couple of years.
Frank Hagenstein, Tim Bangemann
Backmatter
Metadaten
Titel
Active Fixed Income and Credit Management
verfasst von
Frank Hagenstein
Tim Bangemann, PhD
Copyright-Jahr
2002
Verlag
Palgrave Macmillan UK
Electronic ISBN
978-0-230-51049-4
Print ISBN
978-1-349-43219-6
DOI
https://doi.org/10.1057/9780230510494