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Fixed Income Attribution

London Financial Studies
En London (Inglaterra), Singapore (Singapur)
  • London Financial Studies

$50001-60000

I went to the Fixed Income Attribution course at 57245040080951515555556954524568 Studies. The staff is more than kind and exceptionally eager to help with individual inquiries (e.g. orchestrating a taxi). The offices are productive and wholesome ...

LA OPINIÓN DE Anonymous

Información importante

Descripción

This hands on course enables participants to get a practical working experience of fixed income attribution, from planning to implementation and analysis. After completing the course you will have developed the skills to:

- Understand how attribution works and the value it adds to the investment process
- Interpret attribution reports from commercial systems
- Assess the strengths and weaknesses of commercially available attribution software
- Make informed decisions about the build vs. buy decision
Present results in terms accessible to all parts of the business

Información importante
¿Qué objetivos tiene esta formación?

¿Esta formación es para mí?

Performance analysts
Fund and portfolio managers
Investment officers
Fixed Income professionals (marketing/sales)
Auditors and compliance
Quants and IT developers

Requisitos: A basic understanding of fixed income products Microsoft Excel

Instalaciones

Dónde se imparte y en qué fechas

Inicio Ubicación
04 mayo 2017
London
34 Curlew Street, se12nd, London, Inglaterra
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03 abril 2017
Singapore
The Finexis Building, Singapore, Singapur
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Opiniones

A

09/09/2016
Lo mejor The course was exceptionally significant to me, particularly the all around arranged Excel work assignments. Much thanks.

A mejorar Nothing.

Curso realizado: Septiembre 2016 | Recomendarías este centro? Sí.
A

08/10/2016
Lo mejor All around organized course that advantages from the bits of knowledge in industry rehearse Rupesh gives en route.

A mejorar Everything OK.

Curso realizado: Octubre 2016 | Recomendarías este centro? Sí.
A

03/10/2016
Lo mejor I went to the Fixed Income Attribution course at 57245040080951515555556954524568 Studies. The staff is more than kind and exceptionally eager to help with individual inquiries (e.g. orchestrating a taxi). The offices are productive and wholesome. Everything worked extremely well. The refreshments, for example, espresso, tea, juice, natural products, croissants are crisp and accessible the whole day. The course was detailed and the measure of materials secured was ideal for the 2-day time period. The guide's showing abilities were of an exceptional state and his devotion to the course guaranteed a pleasant learning knowledge.

A mejorar Nothing bad.

Curso realizado: Octubre 2016 | Recomendarías este centro? Sí.

¿Qué aprendes en este curso?

Risk
Stock Markets
Money Markets
Securities
Fixed Income
Credit
Microsoft Excel
Performance
Marketing
Benchmarking
Performance evaluation
Bonds
Asset Allocation
Fixed Income Attribution
EMD
Frongello
Perpetuals
MBS
Menchero
Geometric

Programa académico

Day One

Laying the groundwork
  • Attribution: what it is, why it’s useful
  • The basics of performance measurement
  • Foreign exchange, hedging and benchmarks
  • Stock selection and asset allocation
    - Brinson Fachler and Brinson Beebower Hood models
  • Why forwards can drastically change an attribution analysis:
    - Brinson and Karnosky Singer models
  • Why smoothing is needed and how to do it:
    - Carino, Menchero, Frongello, geometric and other models
Exercise: performance, equity attribution, forwards and smoothing in practice

Review of fixed income fundamentals
  • A quick overview of fixed income risk; a bond as a bundle of risks
  • Yield curves: par, zero and real
  • Pricing, risk and the fundamental attribution equation
Exercise: Breaking down the yield curve

Decomposing fixed income return
  • Carry and roll down return
  • Risk free curve return:
    - duration
    - shift/twist/butterfly
    - key rate durations
    - principal components
    - two and three factor models to describe yield curve movements
  • Sector and credit return:
    - country spread
    - spread change allocation and selection
    - sector and security specific returns
  • Paydown return for amortizing securities, convexity return, repricing return, trading return
  • Widely used attribution models:
  • Campisi
  • Tim Lord
  • Van Breukelen
  • top down
  • EMD
  • high yield
Exercise: Different approaches to attribution

Day Two

Attribution by security type
  • Bonds and perpetuals
  • Money markets: Cash, bills, discount securities, CDs, FRNs, forwards
  • Inflation linked securities and breakeven return
  • Futures and the cheapest to deliver
  • Sinkers: amortizing bonds, MBS and ABS
  • Swaps
  • Credit derivatives
  • Options and callable/puttable bonds
Exercise: Running attribution on a real portfolio

Attribution and risk
  • Applying attribution to Value at Risk: calculating VaR and ETL on attribution returns
Bringing it together
  • Useful tricks and short cuts
  • Reporting and residuals
  • Other attribution models (style attribution, risk attribution, stochastic attribution)
Various other examples will be shown during the course, including:
  • Duration attribution
  • Assessing curve steepening
  • Sector and credit spread analyses
  • Breakeven trades in inflation linked portfolios
  • Barbell and other curve positioning strategies
  • High yield attribution
  • Top down attribution
  • Handling options
In addition, answers to the following questions will be discussed:
  • Curvature versus convexity: what’s the difference?
  • What is the right way to measure parallel shift?
  • Why a zero coupon bond shows time return without accruing interest?
  • How many risk factors has an FRN?
  • Modified duration, Fisher Weil duration or DV01: which risk measure is best for attribution?
  • How to handle hedged benchmark issues?