By F. Hagenstein, Tim Bangemann
The authors give you the reader with an intensive software set for energetic and profitable administration of fastened source of revenue portfolios in addition to for credit. the focal point of debate is on quantitative and, for credit, qualitative tools of portfolio administration. those options might be hired for portfolio diversification and with a purpose to outperform the benchmark. equipment appropriate for various probability elements - length, yield curve, foundation, volatility and credits administration - are illustrated intimately utilizing a top-down and bottom-up strategy. numerous examples are offered to teach the sensible relevance of the theoretical types and process.
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Additional info for Active Fixed Income and Credit Management
Also, in Germany the curve ﬂattened across all maturity sectors and especially in the 10y–30y area. Several factors were inﬂuential. In the US in particular, structural changes via bond buy-back programs caused an accelerated ﬂattening in the longer end of the yield curve. Additionally, short-end interest rate increases by central banks in the US and Europe helped long bonds outperform, which caused the curve to ﬂatten. 2, which uses an example with German bonds. 3). The higher the level of 2-year yields, the narrower the yield difference between the 10y and 30y bonds becomes, and vice versa.
2 BARBELL ANALYSIS It is possible to put on various types of barbell positions, in order to express different views on the interest rate curve. In this section, the methods for weighting barbell trades and their performance are examined in detail. Consider these four barbell positions: 33 33 chapter three YIELD CURVE MANAGEMENT ACTIVE FIXED INCOME AND CREDIT MANAGEMENT (a) Duration-neutral and cash-neutral – that is, neutral against parallel shifts in the yield curve: the duration of wing positions (for example 2y and 10y) is equal but opposite to that of the body (for example 5y).
Similarly, in bull markets where yield curves steepen – as was seen in most parts of the year 2001, as central banks decreased their key interest rates – real-money investors with a bullish, steepening view could position themselves in butterﬂy structures: that is, they could buy the body bond against selling the wing bonds, for example buying 5y versus selling 2y and 10y, or buying 10y versus selling 2y and 30y. 1 (for explanations on weights, see the following section). 2 BARBELL ANALYSIS It is possible to put on various types of barbell positions, in order to express different views on the interest rate curve.
Active Fixed Income and Credit Management by F. Hagenstein, Tim Bangemann