Fixed income portfolio construction

Content
Overview and Definition of the Fund Parameters
-Benchmark Selection and the Varieties Available
-Target Return Relative to the Benchmark
-Investment Horizon
-Permitted Investment Range by Type of Product
-Selection Universe

Investment Process
Determine the Key Drivers of the Bond Markets over the Investment Horizon
Example as to How the Market View is translated into Bond Yield Forecasts concerning:
Yield Curves
Regional Variations
Investment Horizons
Compare Investment View to Market Expectations
Alpha Generation: What to do to generate Fund Manager Value:
Duration
Market Selection
Yield Curve Slope and Convexity. What Parts will generate the most Return
Asset Allocation re, for example:
Credit
Emerging Markets
High Yield
Currency Hedging and Overlay Considerations
Tools available: Forwards, Futures, Options, Loans
Swaps
Risks, Costs and Time Horizon of Each
Minimise Risk or Take on Additional Active Risk?


Portfolio Construction
Build up a Portfolio to Implement the Views Adopted
Determine:
Active Interest Rate Exposure (Duration) by Country
And at a Total Portfolio Level
Active Yield Curve Risk by Country
Allocation to Non Government Bonds
Currency Exposure
Security Selection Considerations


Managing Risk
Sources of Risk
Measuring and monitoring Risk: Tracking Error and Value at Risk (VaR)



Todays Date: 8 September 2017
Duration 1 day