A tool for constructing, optimizing, and analyzing the performance of a fixed coupon bond portfolio
Analyze a fixed income portfolio’s yield curve and spread exposure relative to its index benchmark.
- Yield curve exposure (effective duration and key rate durations) comparison
- Credit, industry & geographical sector exposure (cross tabulation reports) comparison
- Issuer exposure comparison
- Scenario analysis comparison
- Yield and spread comparison
Dissect the return of the portfolio and index into components explaining the effect of various market changes.
- Return attributable to yield curve change (rolling yield, parallel shift effect, reshape effect)
- Return attributable to spread and spread change
- Sector and issuer weighting effect
- Issue selection effect
- Identify issues, issuers, and sectors with greatest impact on portfolio return
Maximize portfolio return and index tracking using our built-in user friendly and powerful optimizer.
- Match index yield curve exposure
- Issue, issuer and sector diversification constraints
- Scenario return constraints and max/min optimization
- Soft constraints and sector matching objective for best-match portfolio within liquidity and turnover limitations
- Excel-based easy-to-use implementation
- Built-in interface to Bloomberg database for descriptive and terms/conditions data
- Built-in interface to Kalotay BondOAS™ library