Quantitative Management of Bond Portfolios

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, academics, students, and anyone interested in bond portfolio management. The book covers a range of subjects of concern to fixed income portfolio managers - investment style, benchmark replication and customization, managing credit and mortgage portfolios, managing central bank reserves, risk optimization, and performance attribution. The first part contains empirical studies of security selection versus asset allocation, index replication with derivatives and bonds, optimal portfolio diversification, and long-horizon performance of assets. The second part covers portfolio management tools for risk budgeting, bottom-up risk modeling, performance attribution, innovative measures of risk sensitivities, and hedging risk exposures. A first-of-its-kind publication from a team of practitioners at the front lines of financial thinking, this book presents a winning combination of mathematical models, intuitive examples, and clear language.

ISBN 0691128316   Pages 456 ISBN13 9780691128313 (What's this?)   Volumes 1 Publisher The University Press Group Ltd   Weight (grammes) 1485 Imprint Princeton University Press   Published in New Jersey Format Hardback   Series title Advances in Financial Engineering S. Publication date 09 Oct 2006   Height (mm) 249 Library of Congress 2006016995   Width (mm) 165 DEWEY 332.6323   Spine width (mm) 52 DEWEY edition DC22   Academic level Professional / Scholarly, Tertiary education

Pt. I		Empirical studies of portfolio strategies and benchmark design
1		Value of security selection vs. asset allocation in credit markets		9
2		Value of skill in macro strategies for global fixed-income investing		52
3		Cost of the non-leverage constraint in duration timing		109
4		Replicating the Lehman Brothers U.S. aggregate index with liquid instruments		133
5		Replicating the Lehman Brothers global aggregate index with liquid instruments		163
6		Tradable proxy portfolios for the Lehman Brothers MBS index		188
7		High yield index replication		215
8		CMBS index replication		225
9		Evaluating performance of long-horizon portfolios		241
10		Liability-based benchmarks : an example		283
11		Swap indices		294
12		Benchmarks for asset-swapped portfolios		317
13		Issuer-capped and downgrade-tolerant U.S. corporate indices		327
14		Sufficient diversification in credit portfolios		363
15		Return performance of investment-grade bonds after distress		410
16		Optimal credit allocation for buy-and-hold investors		430
17		A quick look at index tails		465
18		Are credit markets globally integrated?		475
19		Managing against the Lehman Brothers MBS index : prices and returns		503
20		Evaluating measures of MBS duration		519
21		MBS investing over long horizons		556
22		Total return management of Central Bank Reserves		583
		More...

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