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In addition, the selection attribution category is augmented with carry, yield curve, and spread attribution categories. [18] Currency performance attribution methods developed as additions to holdings-based performance attribution methods in multi-currency portfolios. In 1991, Gregory Allen introduced geometric returns and neutralized ...
The risks affecting the return on a bond portfolio, as an example, include the overall level of the yield curve, the slope of the yield curve, and the credit spreads of the bonds in the portfolio. A portfolio manager may hold firm views on the ways in which these factors will change in the near future, so in three separate risk decisions he ...
This works with an upward-sloping yield curve, but it loses money if the curve becomes inverted. Many investment banks, such as Bear Stearns, have failed because they borrowed cheap short-term money to fund higher interest bearing long-term positions. When the long-term positions default, or the short-term interest rate rises too high (or there ...
This is often referred to as the yield spread, and it can narrow and widen based on different factors. When spreads widen because yields on fixed-income assets rise, their value tends to decline ...
Corporate yield curves are often quoted in terms of a "credit spread" over the relevant swap curve. For instance the five-year yield curve point for Vodafone might be quoted as LIBOR +0.25%, where 0.25% (often written as 25 basis points or 25bps) is the credit spread.
The "yield spread of X over Y" is generally the annualized percentage yield to maturity (YTM) of financial instrument X minus the YTM of financial instrument Y. There are several measures of yield spread relative to a benchmark yield curve , including interpolated spread ( I-spread ), zero-volatility spread ( Z-spread ), and option-adjusted ...
Source: Tiingo. Calculations by Newfound Research. Tactical Credit strategy returns are hypothetical and backtested. Returns gross of all management fees and taxes, but net of underlying fund fees.
The U.S. Treasury issued $20 billion in new 20-year bonds on May 20, the first such issuance since 1986. This new 20-year bond slotted into a part of the yield curve where only decade-old 30-year ...