Fixed Income III - DrWaleKesh

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Overview of Fixed-Income Portfolio Management 7 Topics

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a. discuss roles of fixed-income securities in portfolios and how fixed-income mandates may be classified

b. describe fixed-income portfolio measures of risk and return as well as correlation characteristics

c. describe bond market liquidity, including the differences among market sub-sectors, and discuss the effect of liquidity on fixed-income portfolio management

d. describe and interpret a model for fixed-income returns

e. discuss the use of leverage, alternative methods for leveraging, and risks that leverage creates in fixed-income portfolios

f. discuss differences in managing fixed-income portfolios for taxable and tax-exempt investors

Curriculum Questions

Liability-driven and Index-based Strategies 10 Topics

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a. describe liability-driven investing

b. evaluate strategies for managing a single liability

c. compare strategies for a single liability and for multiple liabilities including alternative means of implementation

d. describe construction, benefits, limitations, and risk–return characteristics of a laddered bond portfolio

e. evaluate liability-based strategies under various interest rate scenarios and select a strategy to achieve a portfolio’s objectives

f. explain risks associated with managing a portfolio against a liability structure

g. discuss bond indexes and the challenges of managing a fixed-income portfolio to mimic the characteristics of a bond index

h. compare alternative methods for establishing bond market exposure passively

i. discuss criteria for selecting a benchmark and justify the selection of a benchmark

Curriculum Questions

Yield Curve Strategies 8 Topics

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a. describe the factors affecting fixed-income portfolio returns due to a change in benchmark yields

b. formulate a portfolio positioning strategy given forward interest rates and an interest rate view that coincides with the market view

c. formulate a portfolio positioning strategy given forward interest rates and an interest rate view that diverges from the market view in terms of rate level, slope, and shape

d. formulate a portfolio positioning strategy based upon expected changes in interest rate volatility

e. evaluate a portfolio’s sensitivity using key rate durations of the portfolio and its benchmark

f. discuss yield curve strategies across currencies

g. evaluate the expected return and risks of a yield curve strategy

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Fixed-Income Active Management: Credit Strategies 12 Topics

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a. describe risk considerations for spread-based fixed-income portfolios

b. discuss the advantages and disadvantages of credit spread measures for spread-based fixed-income portfolios, and explain why option-adjusted spread is considered the most appropriate measure

c. discuss bottom-up approaches to credit strategies

d. discuss top-down approaches to credit strategies

e. discuss liquidity risk in credit markets and how liquidity risk can be managed in a credit portfolio

f. describe how to assess and manage tail risk in credit portfolios

g. discuss the use of credit default swap strategies in active fixed-income portfolio management

h. discuss various portfolio positioning strategies that managers can use to implement a specific credit spread view

i. discuss considerations in constructing and managing portfolios across international credit markets

j. describe the use of structured financial instruments as an alternative to corporate bonds in credit portfolios

k. describe key inputs, outputs, and considerations in using analytical tools to manage fixed-income portfolios

Curriculum Questions

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Olawale Keshinro

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Course Includes

4 Lessons
37 Topics

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