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Quantitative Management of Bond Portfolios
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This Wall Street research team has become the recognized authority in quantitative approaches to managing bond portfolios, having worked with investors over many years and in many market environments. Their book is well organized, informative, and readable. I highly recommend it to anyone interested in investment management, regardless of their quantitative background. -- Keith Anderson, Chief Investment Officer for Fixed Income, BlackRock I've always been a huge fan of the authors' work. This is their best yet and a 'must read' for anyone interested in bond portfolio management. The authors go beyond the numbers, delving into the issues of portfolio design crucial to the practitioner. -- Kenneth S. Leech, Chief Investment Officer, Western Asset Management Company This team combines intuition with strong empirical research. The greatest achievement of this book is the recognition that very often a portfolio's structure matters as much as its strategies. If you are looking for ways to outperform your benchmarks and competitors, this is a great starting point. -- Emanuele Ravano, Co-Head of Portfolio Management, PIMCO Europe This is the most comprehensive treatment of the analysis of fixed-income strategies for professional asset managers. The coverage is broad and authoritative, with a clear focus on risk and performance relative to benchmarks, across a range of markets. Anyone managing bond portfolios should have a copy. -- J. Darrell Duffie, Stanford University Written by the leading minds in quantitative fixed-income portfolio management, this book offers an excellent, accessible guide to sources of superior returns and methods for analyzing portfolio risk and performance. -- William N. Goetzmann, Yale University No single currently available book serves the needs of a person who seeks a fuller understanding of the quantitative management of bond portfolios. This book is exactly what I have been looking for. Not only is there a need for it among students, educators, and professionals, but it also has the potential to influence academic thought by exposing academics to some of the best practices on the street. -- Ravi Jagannathan, Kellogg School of Management, Northwestern University This is a very useful addition to the bond literature, produced by the premier bond group on Wall Street. The chapters cover a wide range of issues that will be of interest to academics who teach and research securities markets, and they are well written. Bond traders, fund managers, and other investment banking professionals will want this book. -- Simon Benninga, Tel Aviv University and the Wharton School, author of "Financial Modeling and Principles of Finance with Excel"

Table of Contents

Foreword by Steve Ross ix Acknowledgments xi Note on Authorship xiii Introduction xv PART I: Empirical Studies of Portfolio Strategies and Benchmark Design EVALUATING INVESTMENT STYLE 3 1. Value of Security Selection vs. Asset Allocation in Credit Markets 9 2. Value of Skill in Macro Strategies for Global Fixed-Income Investing 52 3. Cost of the No-Leverage Constraint in Duration Timing 109 INDEX REPLICATION 121 4. Replicating the Lehman Brothers U.S. Aggregate Index with Liquid Instruments 133 5. Replicating the Lehman Brothers Global Aggregate Index with Liquid Instruments 163 6. Tradable Proxy Portfolios for the Lehman Brothers MBS Index 188 7. High Yield Index Replication 215 8. CMBS Index Replication 225 BENCHMARK CUSTOMIZATION 235 9. Evaluating Performance of Long-Horizon Portfolios 241 10. Liability-Based Benchmarks: An Example 283 11. Swap Indices 294 12. Benchmarks for Asset-Swapped Portfolios 317 13. Issuer-Capped and Downgrade-Tolerant U.S. Corporate Indices 327 MANAGING CREDIT PORTFOLIOS 353 14. Sufficient Diversification in Credit Portfolios 363 15. Return Performance of Investment-Grade Bonds after Distress 410 16. Optimal Credit Allocation for Buy-and-Hold Investors 430 17. A Quick Look at Index Tails 465 18. Are Credit Markets Globally Integrated? 475 MANAGING MORTGAGE PORTFOLIOS 499 19. Managing against the Lehman Brothers MBS Index: Prices and Returns 503 20. Evaluating Measures of MBS Duration 519 21. MBS Investing over Long Horizons 556 MANAGING CENTRAL BANK RESERVES 579 22. Total Return Management of Central Bank Reserves 583 23. The Prospects of Negative Annual Total Returns in Short-Duration Treasury Benchmarks 621 PART II: Portfolio Management Tools OPTIMAL RISK BUDGETING WITH SKILL 631 24. Effect of Security Selection Skill on Optimal Sector Allocation 641 25. Risk Budget Allocation to Issuer and Sector Views 655 MULTIFACTOR RISK MODELING AND PERFORMANCE ATTRIBUTION 677 26. The Global Risk Model: A Portfolio Manager's Guide 681 27. The Hybrid Performance Attribution Model 788 PORTFOLIO AND INDEX ANALYTICS 811 28. Insights on Duration and Convexity 817 29. Portfolio Yields and Durations 825 30. Computing Excess Return of Spread Securities 842 31. Currency-Hedged Returns in Fixed-Income Indices 854 32. The Bund-Treasury Trade in Portfolios 862 33. Empirical Duration of Credit Securities 871 34. Duration Times Spread: A New Measure of Spread Risk for Credit Securities 888 35. Hedging Debt with Equity 935

About the Author

The authors are with the Lehman Brothers Quantitative Portfolio Strategies Group. Lev Dynkin is a Managing Director and the Group's founder and Global Head. Anthony Gould, Jay Hyman, and Vadim Konstantinovsky are Senior Vice Presidents. Bruce Phelps is a Managing Director.

Reviews

"This Wall Street research team has become the recognized authority in quantitative approaches to managing bond portfolios, having worked with investors over many years and in many market environments. Their book is well organized, informative, and readable. I highly recommend it to anyone interested in investment management, regardless of their quantitative background."-Keith Anderson, Chief Investment Officer for Fixed Income, BlackRock
"I've always been a huge fan of the authors' work. This is their best yet and a 'must read' for anyone interested in bond portfolio management. The authors go beyond the numbers, delving into the issues of portfolio design crucial to the practitioner."-Kenneth S. Leech, Chief Investment Officer, Western Asset Management Company
"This team combines intuition with strong empirical research. The greatest achievement of this book is the recognition that very often a portfolio's structure matters as much as its strategies. If you are looking for ways to outperform your benchmarks and competitors, this is a great starting point."-Emanuele Ravano, Co-Head of Portfolio Management, PIMCO Europe
"This is the most comprehensive treatment of the analysis of fixed-income strategies for professional asset managers. The coverage is broad and authoritative, with a clear focus on risk and performance relative to benchmarks, across a range of markets. Anyone managing bond portfolios should have a copy."-J. Darrell Duffie, Stanford University
"Written by the leading minds in quantitative fixed-income portfolio management, this book offers an excellent, accessible guide to sources of superior returns and methods for analyzing portfolio risk and performance."-William N. Goetzmann, Yale University
"No single currently available book serves the needs of a person who seeks a fuller understanding of the quantitative management of bond portfolios. This book is exactly what I have been looking for. Not only is there a need for it among students, educators, and professionals, but it also has the potential to influence academic thought by exposing academics to some of the best practices on the street."-Ravi Jagannathan, Kellogg School of Management, Northwestern University
"This is a very useful addition to the bond literature, produced by the premier bond group on Wall Street. The chapters cover a wide range of issues that will be of interest to academics who teach and research securities markets, and they are well written. Bond traders, fund managers, and other investment banking professionals will want this book."-Simon Benninga, Tel Aviv University and the Wharton School, author of Financial Modeling and Principles of Finance with Excel

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