QUANTITATIVE GLOBAL BOND PORTFOLIO MANAGEMENT

Quantitative Global Bond Portfolio Management offers a comprehensive discussion of quantitative modelling approaches to managing global bond and currency portfolios. Drawing on practitioner and academic research, as well as the extensive market experience of the authors, the book provides a timely overview of cutting-edge tools applied to the management of global bond portfolios, including in-depth discussions of factor models and optimization techniques. In addition to providing a solid theoretical foundation for global bond portfolio management, the authors focus on the practical implementation of yield curve and currency-driven approaches that can be successfully implemented in actual portfolios. As such, the book will be an indispensable resource to both new and seasoned investors looking to enhance their understanding of global bond markets and strategies.

Contents:

• Framework for Global Bond Portfolios:
  • Quantifying Risks and the Role of Quantitative Management
  • Global Markets and Bond Benchmarks
  • Currency Management
  • Yield Curve Management
• Portfolio Management:
  • Factors in Global Bond Portfolios
  • Top-Down Portfolio Allocation
  • Bond Selection
  • Bond Trading, Portfolio Rebalancing, and Electronic Exchanges
  • Portfolio Risk Management
• Performance Analysis and Attribution:
  • Factor Models in Performance Analysis
  • Performance Analysis
  • Yield Curve Attribution for Global Bond Portfolios

Readership: For investment professionals like portfolio managers, chief investment officers, and students/researchers in finance.

Key Features:

• This textbook is essential reading for anyone interested in global bond and currency management
• Covering a wide range of applications of interest to both practitioners and academics, the authors guide the readers by first developing a sound theoretical framework, and then providing practical illustrations of how bonds and currencies are managed in real portfolios
• They show how currency and bond management can be fully integrated within an investment process
• A major objective is to shed light on the problems faced by practitioners in portfolio optimization, bond trading, risk management, portfolio rebalancing, and performance measurement of fixed-income instruments and currencies. Potential solutions to these problems are provided