Quantitative global bond portfolio management:
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| Sprache: | English |
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New Jersey; London ; Singapore ; Bejing ; Shanghai ; Hongkong ; Taipei ; Chennai ; Tokyo
World Scientific
[2024]
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| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Includes bibliographical references and index |
| Beschreibung: | xxiii, 396 Seiten Illustrationen, Diagramme |
| ISBN: | 9789811272561 9811272565 |
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| 245 | 1 | 0 | |a Quantitative global bond portfolio management |c Gueorgui S. Konstantinov (Finance Resolution, Germany), Frank J. Fabozzi (John Hopkins University, USA), Joseph S. Simonian (Autonomous Investment Technologies, USA) |
| 264 | 1 | |a New Jersey; London ; Singapore ; Bejing ; Shanghai ; Hongkong ; Taipei ; Chennai ; Tokyo |b World Scientific |c [2024] | |
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| 653 | 0 | |a Asset allocation | |
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Datensatz im Suchindex
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| adam_text | Contents vii Preface About the Authors xi Acknowledgments xiii Part 1 Framework for Global Bond Portfolios Chapter 1 Quantifying Risks and the Role of Quantitative Management 1.1 The Risks in Global Bonds 1.1.1 Currency risk 1.1.2 Volatility risk 1.1.3 Model risk 1.1.4 Market risk 1.1.5 Political risk 1.1.6 Interest-rate risk 1.1.7 Macroeconomic risk 1.1.8 Liquidity risk 1.1.9 Equity market risk 1.1.10 Spread risk 1.1.11 Default risk ; 1.1.12 Rating risk ! 1.2 Instruments ! 1.2.1 Bonds 1.2.1.1 Bullet bonds 1.2.1,2 Callable and puttable bonds 1 3 4 5 5 5 6 8 9 10 10 11 11 12 12 13 13 13 14
xvi Quantitative Global Bond Portfolio Management 1.2.1.3 Floating-rate bonds 1.2.1.4 Inflation-linked bonds 1.2.2 Foreign exchange 1.2.3 Derivatives 1.2,3.1 Role of derivatives 1.2.3.2 Risk sharing versus insurance derivatives 1.3 The Role of Quantitative Portfolio Management 1.3.1 Investment objectives 1.3.2 Investment policy 1.3.3 Portfolio strateg}’ 1.3.4 Asset allocation and selection 1.3.5 Performance measurement and attribution 1.4 Key Takeaways References Chapter 2 Global Markets and Bond Benchmarks 2.1 Dimensions of Risk in Global Markets 2.1.1 Country-specific risk 2.1.2 Market risk 2.1.3 Contagion and coupling in global financial markets 2.1.4 Asset allocation and security selection 2.2 Global Bond Benchmarks 2.3 Bond Index Criteria for Investment Management 2.4 Bond Index Description 2.5 Common Bond Indexes Used as Benchmarks 2.5.1 Emerging market bond indexes 2.5.1.1 Index statistics 2.5.2 Global bond indexes 2.5.2.1 Global government bondindexes 2.5.2.2 Global aggregate bond indexes 2.5.2.3 Index statistics 2.6 Bond Benchmarks: A Deeper Dive into Risk and Return 2.6.1 Currency impact on benchmarks 2.6.1.1 Local vs. hedged currency indexes 49 14 14 16 17 17 18 19 20 21 21 22 23 23 23 27 27 28 29 31 32 34 35 36 39 40 42 43 44 45 46 48 49
Contents χ ϋ Chapter 3 2.7 Quantitative Index Analysis 2.7.1 Matrix decomposition of indexes 2.7.2 Correlation analysis 2.8 Key Takeaways References 51 51 57 62 63 Currency Management 3.1 The Role of Currency Markets 3.1.1 Development of currency markets 3.1.2 Drivers of FX market structure 3.1.2.1 Market-maker activities 3.1.2.2 Central banks, government institutions, and regulators 3.1.2.3 Portfolio allocation 3.1.3 Expected returns of currencies 3.2 Foreign Exchange Exposure for Global Bond Portfolios 3.2.1 Currency notation and cross-currency rates 3.2.2 Foreign exchange returns and exposure estimation 3.2.3 Bond exposure and foreign exchange 3.2.3.1 Simple bond trading and foreign exchange 78 3.2.3.2 Estimating bond exposure in local currency 79 3.3 Currency Management 3.3.1 Currency investment strategies 3.3.2 Currency value 3.3.2.1 Purchasing power parity 3.3.3 Currency carry 3.3.3.1 Covered interest parity 3.3,3.2 Uncovered interest parity 3.3.3.3 Measuring currency carry returns 3.3.4 Currency momentum 3.3.4.1 Momentum trading rules 3.3.4.2 Measuring currency momentum returns 91 3.3.4.3 Currency volatility 67 67 67 71 71 71 72 73 74 74 76 77 82 82 82 83 85 86 87 88 88 89 92
χνίίί Quantitative Global Bond Portfolio Management Chapter 4 Part 2 Chapters 3.3.5 Relativity of currency returns 3.3.5.1 Value 3.3.5.2 Momentum 3.3.5.3 Volatility 3.3.6 Benchmarking 3.4 Key Takeaways References 93 94 94 95 96 97 98 Yield Curve Management 4.1 Fundamentals of Bond Pricing 4.1.1 Theoretical prices and price sensitivity 4.1.2 The yield curve 4.1.2.1 Theoretical background 4.1.2.2 Yield curve models 4.1.2.3 Fitting the yield curve 4.2 Yield Curve Valuation 4.2.1 Bond expected returns 4.2.1.1 Accrued interest 4.2.1.2 Bond price changes 4.2.2 Bond fair value, expected bond returns, and the option-adjusted spread 4.2.3 Duration-times-spread 4.3 Yield Curve Strategies 4.3.1 The choice of the yield curve 4.3.2 Duration and maturity allocation strategies 4.3.3 Rating and credit strategies 4.3.4 Relative value strategies 4.3.4.1 Inter-curve positioning 4.3.4.2 Intra-curve positioning 4.4 Key Takeaways References 103 103 103 105 105 106 112 117 117 117 118 Portfolio Management 151 Factors in Global Bond Portfolios 5.1 Overview of Factor Models and theirPurpose 5.2 Factors and Factor Selection: Overview of Major Factor Categories 5.2.1 Market yield and currencyfactors 122 127 130 130 135 140 142 142 146 147 148 153 154 156 158
Contents xix 5.2.1.1 Level factor 5.2.1.2 Steepness factor 5.2.1.3 Curvature factor 5.2.1.4 Spread factor 5.2.1.5 Yield volatility factor 5.2.1.6 Currency volatility factor 5.2.2 Asset-based factors 5.2.2.1 Term factor 5.2.2.2 Default factor 5.2.2.3 Duration-times-spreadfactor 5.2.3 Strategy (style) factors 5.2.3.1 Bond carry factor 5.2.3.2 Bond trend factor 5.2.3.3 Currency carry factor 5.2.3.4 Currency value factor 5.2.3.5 Currency momentum factor 5.2.4 Equity market factors 5.2.4.1 Fama-French-Carhart (FFC) factors 167 5.2.4.2 Liquidity factor 5.3 Takeaways References Chapter 6 Top-Down Portfolio Allocation 6.1 The Importance of Investment Objectives 6.1.1 The objective function and determinants of portfolio allocation 6.1.1.1 Portfolio objectives and measures of risk and return 6.1.1.2 Maximization or minimization of an objective function 6.1.2 Constraints 6.2 Quantitative Frameworks for Portfolio Allocation 6.2.1 Mean-variance optimization 6.2.2 The Black-Litterman allocation model 6.3 Practical Portfolio Allocation and Model Estimation 6.3.1 Asset class expected returns 6.3.2 Expected portfolio risks 158 158 159 159 160 161 161 162 162 162 163 163 164 164 164 165 166 167 169 170 175 176 176 177 178 179 180 180 182 186 189 192
XX Quantitative Global Bond Portfolio Management Chapter 7 6.4 Currency and Country Considerations 192 6.4.1 Currencies 6.4.2 Country portfolio allocation 6.5 Robust Portfolio Optimization 6.5.1 Robust mean-variance optimization 6.5.2 Robust Black-Litterman optimization 6.6 Key Takeaways References 193 196 196 196 198 200 201 Bond Selection 7.1 Optimization at the Single Bond Level 7.1.1 Expected single bond returns and weights 7.1.2 Estimating expected individual bond returns and risk 7.1.3 Modeling risk, restrictions, and constraints 7.2 Practical Examples of Bond Selection Optimization 217 7.2.1 Global unconstrained government bond portfolio 7.2.2 Emerging market bond portfolio 7.3 Key Takeaways References 205 205 207 Chapter 8 Bond Trading, Portfolio Rebalancing, and Electronic Exchanges 8.1 Economic Principles for Trading in Global Bond Portfolios 8.1.1 Discretionary trading 8.1.2 Systematic trading 8.2 Determinants of Bond Prices and Liquidity 8.2.1 Bond liquidity 8.2.2 Liquidity and portfolio management 8.2.2.1 Bid-ask spreads 8.2.2.2 Portfolio size 8.2.2.3 Portfolio allocation 8.2.2.4 Illiquidity in bond markets 8.2.2.5 The market cycle and volatility 8.2.2.6 Transaction costs 8.3 Trading Approaches 209 212 217 221 227 228 229 229 230 231 231 232 234 234 236 236 237 237 238 239
Contents xxi Chapter 9 8.4 Electronic Trading 8.4.1 Development of electronic exchanges 8.4.1.1 Supply and demand for bonds 8.4.1.2 Market complexity 8.4.1.3 Structural market change 8.4.2 Trading platforms 8.4.3 Bond trading and basket trades 8.4.4 Foreign exchange trading and basket trades 8.5 Portfolio Rebalancing 8.5.1.1 Current portfolio 8.5.1.2 Portfolio trading and rebalancing 8.5.1.3 Portfolio trading and rebalancing with foreign exchange 8.5.1.4 Portfolio trade basket 8.6 Key Takeaways References 240 241 241 242 243 244 246 246 247 249 249 Portfolio Risk Management 9.1 Hedging Interest-Rate Risk of Global Bond Portfolios 9.1.1 Bond portfolio hedging with futures 9.1.1.1 Alternative hedging approaches 9.1.2 Credit risk 9.1.3 Hedging currency risk 9.1.3.1 Modeling foreign exchange as a lattice tree 270 9.1.3.2 Currency forwards and futures 9.1.3.3 Currency options 9.1.3.4 Hedging impact and portfolio management 283 9.2 Overlay Management 9.2.1 Currency overlay management 9.2.1.1 Currency overlay management using a momentumapproach 9.2.1.2 Currency volatility overlay management 9.2.2 Interest-rate portfolio overlay example for futures 9.3 Takeaways References 259 251 252 255 255 260 264 267 267 268 275 276 285 286 288 289 289 295 296
xxii Quantitative Globa! Bond Portfolio Management Part3 Performance Analysis and Attribution Chapter 10 Factor Models in Performance Analysis 10.1 Methodology for Building Factor Models for Bond Portfolios 10.2 How to Select Factors 10.2.1 LASSO and ridge regression models 10.2.2 Illustration of LASSO and ridge regression models 10.2.2.1 Ridge regression 10.2.2.2 LASSO 10.2.3 Orthogonal regressions for selecting factors 10.2.4 Application of factor models in investment management 10.3 Capturing Time-Vary ing Factor and Sty le Exposure: Crowded Trades 10.3.1 Definition and intuition of crowded trades 10.3.2 Currency crowdedness of global bond funds 317 10.3.2.1 Overview of bond portfolio crowdedness 10.3.2.2 FX carry crowdedness 10.3.2.3 FX momentum crowdedness 10.3.2.4 FX value crowdedness 10.3.2.5 FX volatility crowdedness 10.4 Model Selection 10.5 Key Takeaways References Chapter 11 Performance Analysis 11.1 Manager Skill and Performance: What Does Alpha Measure? 11.1.1 How to evaluate global bond portfolios 11.1.2 A more nuanced treatment of factors 11.1.3 Factor models and performance measurement 299 301 302 304 306 308 308 309 310 311 314 314 319 320 321 322 322 323 325 325 329 330 333 335 336
Contents 11.1.4 The information ratio as a performance measure 11.1.4.1 Evaluating global bond portfolios with the information ratio 11.1.4.2 Evaluating absolute return global bond portfolios 341 11.1.5 Performance measurement and contribution to risk: An illustration 11.2 Key Takeaways References xxjii 338 339 343 345 346 Chapter 12 Yield Curve Attribution for Global Bond Portfolios 12.1 Theoretical Framework 12.1.1 Yield curve-based effects 12.1.1.1 Roll down effect 12.1.1.2 Parallel effect 12.1.1.3 Structure effect 12.1.1.4 Twisteffect 12.1.1.5 Butterfly effect 12.1.1.6 Spread effect 12.1.1.7 Coupon effect 12.1.2 Currency effects 12.1.2.1 FX carry effect 12.1.2.2 FX value effect 12.1.2.3 FX momentum effect 12.1.3 Portfolio weights and returns 12.2 Case Studies: Holdings-Based Attribution of a Global and Emerging Market BondPortfolios 12.2.1 Global bond portfoliocase study 12.2.2 Emerging markets hard currency bond portfolio case study 12.3 Key Takeaways References 349 350 350 354 354 355 356 356 356 357 357 358 359 359 360 Index 381 361 362 372 378 378
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Contents vii Preface About the Authors xi Acknowledgments xiii Part 1 Framework for Global Bond Portfolios Chapter 1 Quantifying Risks and the Role of Quantitative Management 1.1 The Risks in Global Bonds 1.1.1 Currency risk 1.1.2 Volatility risk 1.1.3 Model risk 1.1.4 Market risk 1.1.5 Political risk 1.1.6 Interest-rate risk 1.1.7 Macroeconomic risk 1.1.8 Liquidity risk 1.1.9 Equity market risk 1.1.10 Spread risk 1.1.11 Default risk ; 1.1.12 Rating risk ! 1.2 Instruments ! 1.2.1 Bonds ' 1.2.1.1 Bullet bonds 1.2.1,2 Callable and puttable bonds 1 3 4 5 5 5 6 8 9 10 10 11 11 12 12 13 13 13 14
xvi Quantitative Global Bond Portfolio Management 1.2.1.3 Floating-rate bonds 1.2.1.4 Inflation-linked bonds 1.2.2 Foreign exchange 1.2.3 Derivatives 1.2,3.1 Role of derivatives 1.2.3.2 Risk sharing versus insurance derivatives 1.3 The Role of Quantitative Portfolio Management 1.3.1 Investment objectives 1.3.2 Investment policy 1.3.3 Portfolio strateg}’ 1.3.4 Asset allocation and selection 1.3.5 Performance measurement and attribution 1.4 Key Takeaways References Chapter 2 Global Markets and Bond Benchmarks 2.1 Dimensions of Risk in Global Markets 2.1.1 Country-specific risk 2.1.2 Market risk 2.1.3 Contagion and coupling in global financial markets 2.1.4 Asset allocation and security selection 2.2 Global Bond Benchmarks 2.3 Bond Index Criteria for Investment Management 2.4 Bond Index Description 2.5 Common Bond Indexes Used as Benchmarks 2.5.1 Emerging market bond indexes 2.5.1.1 Index statistics 2.5.2 Global bond indexes 2.5.2.1 Global government bondindexes 2.5.2.2 Global aggregate bond indexes 2.5.2.3 Index statistics 2.6 Bond Benchmarks: A Deeper Dive into Risk and Return 2.6.1 Currency impact on benchmarks 2.6.1.1 Local vs. hedged currency indexes 49 14 14 16 17 17 18 19 20 21 21 22 23 23 23 27 27 28 29 31 32 34 35 36 39 40 42 43 44 45 46 48 49
Contents χ\ϋ Chapter 3 2.7 Quantitative Index Analysis 2.7.1 Matrix decomposition of indexes 2.7.2 Correlation analysis 2.8 Key Takeaways References 51 51 57 62 63 Currency Management 3.1 The Role of Currency Markets 3.1.1 Development of currency markets 3.1.2 Drivers of FX market structure 3.1.2.1 Market-maker activities 3.1.2.2 Central banks, government institutions, and regulators 3.1.2.3 Portfolio allocation 3.1.3 Expected returns of currencies 3.2 Foreign Exchange Exposure for Global Bond Portfolios 3.2.1 Currency notation and cross-currency rates 3.2.2 Foreign exchange returns and exposure estimation 3.2.3 Bond exposure and foreign exchange 3.2.3.1 Simple bond trading and foreign exchange 78 3.2.3.2 Estimating bond exposure in local currency 79 3.3 Currency Management 3.3.1 Currency investment strategies 3.3.2 Currency value 3.3.2.1 Purchasing power parity 3.3.3 Currency carry 3.3.3.1 Covered interest parity 3.3,3.2 Uncovered interest parity 3.3.3.3 Measuring currency carry returns 3.3.4 Currency momentum 3.3.4.1 Momentum trading rules 3.3.4.2 Measuring currency momentum returns 91 3.3.4.3 Currency volatility 67 67 67 71 71 71 72 73 74 74 76 77 82 82 82 83 85 86 87 88 88 89 92
χνίίί Quantitative Global Bond Portfolio Management Chapter 4 Part 2 Chapters 3.3.5 Relativity of currency returns 3.3.5.1 Value 3.3.5.2 Momentum 3.3.5.3 Volatility 3.3.6 Benchmarking 3.4 Key Takeaways References 93 94 94 95 96 97 98 Yield Curve Management 4.1 Fundamentals of Bond Pricing 4.1.1 Theoretical prices and price sensitivity 4.1.2 The yield curve 4.1.2.1 Theoretical background 4.1.2.2 Yield curve models 4.1.2.3 Fitting the yield curve 4.2 Yield Curve Valuation 4.2.1 Bond expected returns 4.2.1.1 Accrued interest 4.2.1.2 Bond price changes 4.2.2 Bond fair value, expected bond returns, and the option-adjusted spread 4.2.3 Duration-times-spread 4.3 Yield Curve Strategies 4.3.1 The choice of the yield curve 4.3.2 Duration and maturity allocation strategies 4.3.3 Rating and credit strategies 4.3.4 Relative value strategies 4.3.4.1 Inter-curve positioning 4.3.4.2 Intra-curve positioning 4.4 Key Takeaways References 103 103 103 105 105 106 112 117 117 117 118 Portfolio Management 151 Factors in Global Bond Portfolios 5.1 Overview of Factor Models and theirPurpose 5.2 Factors and Factor Selection: Overview of Major Factor Categories 5.2.1 Market yield and currencyfactors 122 127 130 130 135 140 142 142 146 147 148 153 154 156 158
Contents xix 5.2.1.1 Level factor 5.2.1.2 Steepness factor 5.2.1.3 Curvature factor 5.2.1.4 Spread factor 5.2.1.5 Yield volatility factor 5.2.1.6 Currency volatility factor 5.2.2 Asset-based factors 5.2.2.1 Term factor 5.2.2.2 Default factor 5.2.2.3 Duration-times-spreadfactor 5.2.3 Strategy (style) factors 5.2.3.1 Bond carry factor 5.2.3.2 Bond trend factor 5.2.3.3 Currency carry factor 5.2.3.4 Currency value factor 5.2.3.5 Currency momentum factor 5.2.4 Equity market factors 5.2.4.1 Fama-French-Carhart (FFC) factors 167 5.2.4.2 Liquidity factor 5.3 Takeaways References Chapter 6 Top-Down Portfolio Allocation 6.1 The Importance of Investment Objectives 6.1.1 The objective function and determinants of portfolio allocation 6.1.1.1 Portfolio objectives and measures of risk and return 6.1.1.2 Maximization or minimization of an objective function 6.1.2 Constraints 6.2 Quantitative Frameworks for Portfolio Allocation 6.2.1 Mean-variance optimization 6.2.2 The Black-Litterman allocation model 6.3 Practical Portfolio Allocation and Model Estimation 6.3.1 Asset class expected returns 6.3.2 Expected portfolio risks 158 158 159 159 160 161 161 162 162 162 163 163 164 164 164 165 166 167 169 170 175 176 176 177 178 179 180 180 182 186 189 192
XX Quantitative Global Bond Portfolio Management Chapter 7 6.4 Currency and Country Considerations 192 6.4.1 Currencies 6.4.2 Country portfolio allocation 6.5 Robust Portfolio Optimization 6.5.1 Robust mean-variance optimization 6.5.2 Robust Black-Litterman optimization 6.6 Key Takeaways References 193 196 196 196 198 200 201 Bond Selection 7.1 Optimization at the Single Bond Level 7.1.1 Expected single bond returns and weights 7.1.2 Estimating expected individual bond returns and risk 7.1.3 Modeling risk, restrictions, and constraints 7.2 Practical Examples of Bond Selection Optimization 217 7.2.1 Global unconstrained government bond portfolio 7.2.2 Emerging market bond portfolio 7.3 Key Takeaways References 205 205 207 Chapter 8 Bond Trading, Portfolio Rebalancing, and Electronic Exchanges 8.1 Economic Principles for Trading in Global Bond Portfolios 8.1.1 Discretionary trading 8.1.2 Systematic trading 8.2 Determinants of Bond Prices and Liquidity 8.2.1 Bond liquidity 8.2.2 Liquidity and portfolio management 8.2.2.1 Bid-ask spreads 8.2.2.2 Portfolio size 8.2.2.3 Portfolio allocation 8.2.2.4 Illiquidity in bond markets 8.2.2.5 The market cycle and volatility 8.2.2.6 Transaction costs 8.3 Trading Approaches 209 212 217 221 227 228 229 229 230 231 231 232 234 234 236 236 237 237 238 239
Contents xxi Chapter 9 8.4 Electronic Trading 8.4.1 Development of electronic exchanges 8.4.1.1 Supply and demand for bonds 8.4.1.2 Market complexity 8.4.1.3 Structural market change 8.4.2 Trading platforms 8.4.3 Bond trading and basket trades 8.4.4 Foreign exchange trading and basket trades 8.5 Portfolio Rebalancing 8.5.1.1 Current portfolio 8.5.1.2 Portfolio trading and rebalancing 8.5.1.3 Portfolio trading and rebalancing with foreign exchange 8.5.1.4 Portfolio trade basket 8.6 Key Takeaways References 240 241 241 242 243 244 246 246 247 249 249 Portfolio Risk Management 9.1 Hedging Interest-Rate Risk of Global Bond Portfolios 9.1.1 Bond portfolio hedging with futures 9.1.1.1 Alternative hedging approaches 9.1.2 Credit risk 9.1.3 Hedging currency risk 9.1.3.1 Modeling foreign exchange as a lattice tree 270 9.1.3.2 Currency forwards and futures 9.1.3.3 Currency options 9.1.3.4 Hedging impact and portfolio management 283 9.2 Overlay Management 9.2.1 Currency overlay management 9.2.1.1 Currency overlay management using a momentumapproach 9.2.1.2 Currency volatility overlay management 9.2.2 Interest-rate portfolio overlay example for futures 9.3 Takeaways References 259 251 252 255 255 260 264 267 267 268 275 276 285 286 288 289 289 295 296
xxii Quantitative Globa! Bond Portfolio Management Part3 Performance Analysis and Attribution Chapter 10 Factor Models in Performance Analysis 10.1 Methodology for Building Factor Models for Bond Portfolios 10.2 How to Select Factors 10.2.1 LASSO and ridge regression models 10.2.2 Illustration of LASSO and ridge regression models 10.2.2.1 Ridge regression 10.2.2.2 LASSO 10.2.3 Orthogonal regressions for selecting factors 10.2.4 Application of factor models in investment management 10.3 Capturing Time-Vary ing Factor and Sty le Exposure: Crowded Trades 10.3.1 Definition and intuition of crowded trades 10.3.2 Currency crowdedness of global bond funds 317 10.3.2.1 Overview of bond portfolio crowdedness 10.3.2.2 FX carry crowdedness 10.3.2.3 FX momentum crowdedness 10.3.2.4 FX value crowdedness 10.3.2.5 FX volatility crowdedness 10.4 Model Selection 10.5 Key Takeaways References Chapter 11 Performance Analysis 11.1 Manager Skill and Performance: What Does Alpha Measure? 11.1.1 How to evaluate global bond portfolios 11.1.2 A more nuanced treatment of factors 11.1.3 Factor models and performance measurement 299 301 302 304 306 308 308 309 310 311 314 314 319 320 321 322 322 323 325 325 329 330 333 335 336
Contents 11.1.4 The information ratio as a performance measure 11.1.4.1 Evaluating global bond portfolios with the information ratio 11.1.4.2 Evaluating absolute return global bond portfolios 341 11.1.5 Performance measurement and contribution to risk: An illustration 11.2 Key Takeaways References xxjii 338 339 343 345 346 Chapter 12 Yield Curve Attribution for Global Bond Portfolios 12.1 Theoretical Framework 12.1.1 Yield curve-based effects 12.1.1.1 Roll down effect 12.1.1.2 Parallel effect 12.1.1.3 Structure effect 12.1.1.4 Twisteffect 12.1.1.5 Butterfly effect 12.1.1.6 Spread effect 12.1.1.7 Coupon effect 12.1.2 Currency effects 12.1.2.1 FX carry effect 12.1.2.2 FX value effect 12.1.2.3 FX momentum effect 12.1.3 Portfolio weights and returns 12.2 Case Studies: Holdings-Based Attribution of a Global and Emerging Market BondPortfolios 12.2.1 Global bond portfoliocase study 12.2.2 Emerging markets hard currency bond portfolio case study 12.3 Key Takeaways References 349 350 350 354 354 355 356 356 356 357 357 358 359 359 360 Index 381 361 362 372 378 378 |
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| format | Book |
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| id | DE-604.BV049477361 |
| illustrated | Illustrated |
| index_date | 2024-07-03T23:17:42Z |
| indexdate | 2024-07-10T10:08:22Z |
| institution | BVB |
| isbn | 9789811272561 9811272565 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-034822855 |
| oclc_num | 1422435870 |
| open_access_boolean | |
| owner | DE-355 DE-BY-UBR |
| owner_facet | DE-355 DE-BY-UBR |
| physical | xxiii, 396 Seiten Illustrationen, Diagramme |
| publishDate | 2024 |
| publishDateSearch | 2024 |
| publishDateSort | 2024 |
| publisher | World Scientific |
| record_format | marc |
| spelling | Konstantinov, Gueorgui Verfasser (DE-588)1313501867 aut Quantitative global bond portfolio management Gueorgui S. Konstantinov (Finance Resolution, Germany), Frank J. Fabozzi (John Hopkins University, USA), Joseph S. Simonian (Autonomous Investment Technologies, USA) New Jersey; London ; Singapore ; Bejing ; Shanghai ; Hongkong ; Taipei ; Chennai ; Tokyo World Scientific [2024] xxiii, 396 Seiten Illustrationen, Diagramme txt rdacontent n rdamedia nc rdacarrier Includes bibliographical references and index Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Staatsanleihe (DE-588)4182638-3 gnd rswk-swf Schuldverschreibung (DE-588)4180132-5 gnd rswk-swf Internationaler Kreditmarkt (DE-588)4120506-6 gnd rswk-swf Portfolio management Asset allocation Bonds Staatsanleihe (DE-588)4182638-3 s Schuldverschreibung (DE-588)4180132-5 s Portfolio Selection (DE-588)4046834-3 s Internationaler Kreditmarkt (DE-588)4120506-6 s b DE-604 Fabozzi, Frank J. 1948- Verfasser (DE-588)129772054 aut Simonian, Joseph 1949- Verfasser (DE-588)1313500925 aut Erscheint auch als Online-Ausgabe 978-981-1272-57-8 Digitalisierung UB Regensburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=034822855&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Konstantinov, Gueorgui Fabozzi, Frank J. 1948- Simonian, Joseph 1949- Quantitative global bond portfolio management Portfolio Selection (DE-588)4046834-3 gnd Staatsanleihe (DE-588)4182638-3 gnd Schuldverschreibung (DE-588)4180132-5 gnd Internationaler Kreditmarkt (DE-588)4120506-6 gnd |
| subject_GND | (DE-588)4046834-3 (DE-588)4182638-3 (DE-588)4180132-5 (DE-588)4120506-6 |
| title | Quantitative global bond portfolio management |
| title_auth | Quantitative global bond portfolio management |
| title_exact_search | Quantitative global bond portfolio management |
| title_exact_search_txtP | Quantitative global bond portfolio management |
| title_full | Quantitative global bond portfolio management Gueorgui S. Konstantinov (Finance Resolution, Germany), Frank J. Fabozzi (John Hopkins University, USA), Joseph S. Simonian (Autonomous Investment Technologies, USA) |
| title_fullStr | Quantitative global bond portfolio management Gueorgui S. Konstantinov (Finance Resolution, Germany), Frank J. Fabozzi (John Hopkins University, USA), Joseph S. Simonian (Autonomous Investment Technologies, USA) |
| title_full_unstemmed | Quantitative global bond portfolio management Gueorgui S. Konstantinov (Finance Resolution, Germany), Frank J. Fabozzi (John Hopkins University, USA), Joseph S. Simonian (Autonomous Investment Technologies, USA) |
| title_short | Quantitative global bond portfolio management |
| title_sort | quantitative global bond portfolio management |
| topic | Portfolio Selection (DE-588)4046834-3 gnd Staatsanleihe (DE-588)4182638-3 gnd Schuldverschreibung (DE-588)4180132-5 gnd Internationaler Kreditmarkt (DE-588)4120506-6 gnd |
| topic_facet | Portfolio Selection Staatsanleihe Schuldverschreibung Internationaler Kreditmarkt |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=034822855&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT konstantinovgueorgui quantitativeglobalbondportfoliomanagement AT fabozzifrankj quantitativeglobalbondportfoliomanagement AT simonianjoseph quantitativeglobalbondportfoliomanagement |