Business Cycles in an Capital Market and Macroeconomic Framework
Business cycles are fluctuations in economic activity that follow a wave like pattern. While generally simplified into a single wave, …
fixed income
Applied Duration Concepts Review
Duration is the sensitivity of the price of a bond or portfolio to a change in interest rates. Unlike time …
Structured Financial Investments
Structured finance represents an alternative to corporate bonds in the credit portfolio. They offer some combination of: Higher yield and …
International Credit Portfolios
Investing in multiple markets and currencies offers opportunity and risks. But even investors who restrict holdings to one country should …
Credit Strategy Approaches
Credit strategies normally establish return and risk parameters. A credit strategy is typically designed to achieve a constrained objective. VOCAB: …
Credit Spread Measures
A simple way to calculate a credit spread is to subtract the yield on a security with little or no …
Investment Grade and High Yield Bond Portfolios
A credit portfolio consists primarily of securities for which credit risk is an important consideration. The credit market is the …
Butterfly and Condor Trades
Butterfly trades are a leveraged way to capture value when curvature changes. They involve taking a long and offsetting short position …
Adjusting Convexity
It is beneficial to have greater convexity when large changes in rates are expected. The convexity will magnify value gain …
Strategies for Changes in Market Level, Slope, or Curvature
Investors often hold individualized expectations about the yield curve that they generate from economic analysis, data mining exercises, following monetary …