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Groupe de l'événement « Vernissage Chemin Land Art 2022 »

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Hermann Konovalov
Hermann Konovalov

Introduction To Fixed Income Analytics: Relativ...



Understanding fixed-income analytics is essential in today's dynamic financial environment. The Second Edition of Introduction to Fixed Income Analytics will help you build a solid foundation in this field.




Introduction to Fixed Income Analytics: Relativ...


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FRANK J. FABOZZI, PHD, CFA, CPA, is Professor in the Practice of Finance and Becton Fellow at the Yale School of Management and Editor of the Journal of Portfolio Management. He is an Affiliated Professor at the University of Karlsruhe's Institute of Statistics, Econometrics, and Mathematical Finance and on the Advisory Council for the Department of Operations Research and Financial Engineering at Princeton University. STEVEN V. MANN, PHD, is Professor of Finance at the Moore School of Business, University of South Carolina. He has published over seventy articles in finance journals and many books on fixed income and derivatives topics, including The Global Money Markets, Measuring and Controlling Interest Rate and Credit Risk, Securities Finance (as a coeditor), and The Handbook of Fixed Income Securities (as an assistant editor). Mann is an active consultant to clients that include some of the largest investment/commercial banks in the world as well as a number of Fortune 500 companies. Permissions Request permission to reuse content from this site


After all, if individual investors and advisors had allocations to municipals with yields barely over 1% at the beginning of 2022, then they should now salivate at the prospect of yields exceeding 3% (before adjusting for tax benefits). With tax-loss harvesting opportunities ending, we expect that high-earning investors will be motivated to increase their tax-exempt holdings over time. Higher yields not only mean greater income but also greater portfolio stability if a deeper recession transpires.The tax-exempt primary bond market was busy at the start of 2022, but higher rates stunted the pace of issuance later on, consistent with our forecast. The supply picture going forward is uncertain, as usual, yet future issuance will likely remain subdued as the cost of borrowing is higher and municipal balance sheets are still flush with cash from pandemic-era stimulus.Both inflows and lower supply should support municipal valuations in 2023. The quick 4.1% rally in the fourth quarter indicated that these effects are underway. The rebound may lure more investors back with attractive yields and reduce the possibility of negative returns this year. With tax-equivalent yields of 6.0% (or meaningfully higher for residents in high-tax states who invest in corresponding state funds), municipals offer great value compared with other fixed income sectors and potentially even equities, especially with the odds of a recession increasing.


Sara Devereux is a principal and global head of Fixed Income Group. Ms. Devereux has oversight responsibility for investment activities within the rates-related sectors of the taxable fixed income market including foreign exchange. Prior to joining the firm, Ms. Devereux was a partner at Goldman Sachs, where she spent over 20 years in mortgage-backed securities and structured product trading and sales. Earlier in her career, she worked at HSBC in risk management advisory and in interest rate derivatives structuring. Ms. Devereux started her career as an actuary at AXA Equitable Life Insurance. Ms. Devereux earned a B.S. in mathematics from the University of North Carolina at Chapel Hill and an MBA from the Wharton School of the University of Pennsylvania.


Paul Malloy is head of municipal investment at Vanguard. Previously, he was head of Vanguard Fixed Income Group, Europe. In this role, Mr. Malloy managed portfolios that invested in global fixed income assets. He also oversaw Vanguard's European Credit Research team. Mr. Malloy joined Vanguard in 2005 and the Fixed Income Group in 2007 and has held various portfolio management positions in Vanguard's offices in the United Kingdom and the United States. In past roles, he was responsible for managing Vanguard's U.S. fixed income ETFs as well as overseeing a range of fixed income index mutual funds.


Globally, the fixed-income market is a key source of financing for businesses and governments. In fact, the total market value outstanding of corporate and government bonds is significantly larger than that of equity securities. Similarly, the fixed-income market, which is also called the debt market or bond market, represents a significant investing opportunity for institutions as well as individuals. Pension funds, mutual funds, insurance companies, and sovereign wealth funds, among others, are major fixed-income investors. Retirees who desire a relatively stable income stream often hold fixed-income securities. Clearly, understanding how to value fixed-income securities is important to investors, issuers, and financial analysts. We focus on the valuation of traditional (option-free) fixed-rate bonds, although other debt securities, such as floating-rate notes and money market instruments, are also covered.


ESG factors can be incorporated into fixed income investment strategies using three approaches: integration, screening and thematic. Investors select between, or combine, these approaches based on their desired outcomes. This may be to enhance their risk-return profile, avoid specific sectors or drive capital towards particular environmental and/or social goals.


Material ESG factors are identified and assessed alongside traditional financial factors when forming an investment decision about a specific issuer or security, or the overall portfolio structure. In fixed income, this is primarily done to manage downside risk. Investors apply a range of techniques to identify risks that might remain undiscovered without the analysis of specific ESG data and broad ESG trends.


The Yield Book Classic application has delivered the power of Yield Book fixed income analytics to global market participants for over 30 years. A critical application for many market participants, users can access historical data, calculate and analyze single securities and generate portfolio level analytics for various securities through an internet gateway.


The Yield Book is a trusted and authoritative source for fixed income analytics that enables market makers and institutional investors to perform complex and accurate portfolio analysis and risk management.


The extensive securities database provides you with indicative data, daily pricing and analytics. The database covers most major fixed income asset classes and currencies. real-time market data, historical time series data, and daily pricing and analytics provide the tools for powerful analysis. Access to indexes fuels benchmark analysis and provide insight on market trends.


Yield Book analytics calculate consistent yield, risk, and return measures for a broad spectrum of bonds, enabling users to perform analysis on portfolios composed of a wide range of fixed income security types.


Issue-level information is available on a set of FTSE Russell's fixed income indexes and sub-indexes, and on iBoxx Euro and Sterling indexes. This allows for the comparison of portfolios to their appropriate index benchmark.


Historical returns and descriptive measures are provided for fixed income indexes and published sectors since inception, since inception in 1980. In addition, statistical analysis can be performed on the historical measures, as well as re-weighting of the indexes.


Call on our fixed income analysts and systems engineers to address your usage and technical questions. Join us for hands on customer workshops in locations across the globe. Consulting expertise is available upon request to work with you to create customized solutions for your analytic needs.


An active approach is essential for investing in the vast and complex global bond universe. At Dodge & Cox, we employ a flexible and opportunistic approach to investing in global fixed income that relies on the core tenets of all of our investment strategies: a focus on bottom-up security selection, a long-term investment horizon, strict valuation discipline, and team-based portfolio decision-making. This approach enables us to focus on the segments we deem to be most attractive and diversify exposures across credit, currency, and interest rate markets. We believe it also enhances the risk-return profile of a broader fixed income portfolio. Drawing on our large and experienced investment team, we emphasize areas of the market, such as credit and emerging markets, which we believe offer a more attractive investment opportunity set and tend to provide higher income. We believe currency is an important lever for return, but are highly selective in adding currency exposure and require a high risk-adjusted return outlook to merit a place in the Dodge & Cox Global Bond Fund. Using this approach, we are able to build a diverse global bond portfolio with a risk-return profile that we believe is significantly more attractive than that of global bond benchmarks.


Western governments issue increasing amounts of debt, the fixed income markets have never been more important. Yet the methods for analyzing these markets have failed to keep pace with recent developments, including the deterioration in the credit quality of many sovereign issuers. In Fixed Income R...


CLOs are a $910 billion asset class within the broader $12 trillion structured credit fixed-income market1, which also includes asset-backed securities (ABS). CLOs derive principal and interest from an actively managed, diversified pool of non-investment grade, senior-secured corporate loans. 041b061a72


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