Fixed Income Portfolio Management

Fixed Income Portfolio Management

DATE
Location
Instructor: Chris Hessel
Price: $1,095
Registration Form

Typical Schedule
Day 1:
Registration: 12:55-1:00pm
Class: 1-5:00
Day 2:
Class: 8:30-4:30
Lunch: 12-1

COURSE OUTLINE:

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Active versus Structured Portfolio Strategies

Overview of Valuation Models

Limitations of Yield Measures

Spread Measures

Nominal spread, zero volatility spread, option-adjusted spread, swap spread

Total Return Framework

Scenario analysis

Measuring Interest Rate Risk

Duration/convexity
Spread duration for fixed and floating
Index duration for floaters
Key rate duration

Factor Models and their Role in Portfolio Construction

Understanding Bond Indexes

Managing Funds Against an Index

Pure bond indexing matching
Enhanced indexing/matching primary risk factors
Enhanced indexing/minor risk factor mismatches
Active management/larger risk factor mismatches
Active management/full blown active

Relative Value Methodologies

Primary market analysis
Liquidity and trading analysis
Secondary trade rationales
Spread analysis
Structure analysis
Corporate curve analysis

Factor Models and their Role in Portfolio Construction

Measuring Performance

Methodologies for averaging sub-period returns
AIMR reporting standards

Return Attribution Analysis

Using Derivatives to Control Risk

Futures, forwards, swaps, options, caps, and floors
Using Total Return Swaps

Locations of the tutorials and hotel information will be supplied with the confirmation of your registration. The registration fee for all tutorials includes a program notebook. Lunch is on your own. The tutorials are fully copyrighted by their respective speakers. No audio recording or videotaping is permitted.

Call (215) 598-8930 with questions, or email info2@frankfabozzi.com.

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