The nature of the fixed-income markets generally makes full replication impractical. Enhanced indexing provides one acceptable alternative. Stratified sampling (cell matching) can …
Many investors seek a broader exposure to the fixed-income universe. These investors may be attracted to the risk versus return …
The principle of interest rate immunization applies to multiple liabilities in addition to a single liability. There are several approaches …
An interesting connection among the portfolio convexity, Macaulay duration, dispersion, and cash flow yield: The portfolio dispersion and convexity statistics …
Assume a portfolio that is being used to immunize a single liability (sometimes called a bullet) due in five years, with …
Macaulay duration is the weighted average time until the cash flows of an instrument are received. That is why Macaulay duration …
Immunization is a fixed-income management process in which the portfolio is managed to minimize the variability of the rate of return …
Liability-driven investing (LDI) is used when there are definable future liabilities to be paid from portfolio assets. LDI is mostly used …
Leverage is the use of borrowed capital to increase the magnitude of portfolio positions, and it is an important tool …
Decomposing expected fixed-income returns allows an investor to differentiate among several important return components. At the most general level, expected …