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Posts from the ‘Asset Valuation’ Category

____ has become more relevant in generating alpha for fixed income portfolios since the financial crisis. on June 12, 2018

The much higher credit loss rate experienced with high-yield bonds results in an emphasis on ____ and ____ when evaluating a position. on June 12, 2018

Investment-grade bonds have lower ____ and ____ risks than high-yield bonds and are more sensitive to ____ and ____ which causes ____. on June 12, 2018

Total Return on a commodity future [formula] on May 31, 2018

As credit spreads narrow and yields experience a downward parallel shift, corporate callable bonds trading at par ____ corporate non-callable bonds of the same maturity and credit quality. on May 14, 2018

The higher the coupon rate the ____ the duration will be (all else being equal) and… on May 14, 2018

Under Mean-reversion analysis of fixed income the “cheap” bond is the one… on May 14, 2018

A benefit of payment netting with a single counter party of over-the-counter derivatives is: on May 14, 2018

The fund investor benefits from ____ carried interest, ____ preferred return as well as ____ and ____. on May 1, 2018

Spread duration is a measure of risk that is ____ useful for high-yield bonds than for investment-grade bonds. on May 1, 2018

The correlation of expected defaults on the collateral of a CDO affects: on May 1, 2018

The amount of credit risk an over-the-counter option is: on April 28, 2018

TVPI on April 1, 2018

Paid-in Capital on April 1, 2018

Present Value Factor on April 1, 2018

The pay-fixed, receive-floating swap has a ____ duration because: on March 10, 2018

In a swap the floating side duration is: on March 10, 2018

A receiver swaption is equivalent to: on March 7, 2018

A payer swaption is equivalent to: on March 7, 2018

A receiver swaption is… on March 7, 2018

A payer swaption is… on March 7, 2018

Credit risk in a forward contract is assumed by: on February 17, 2018

ESG risk on February 17, 2018

Managed futures are often considered a subgroup of: on February 12, 2018

Drawdowns are: on February 12, 2018

J factor risk on February 12, 2018

High-yield bonds have ____ exposure to interest rate risk than investment grade bonds. on February 3, 2018

Investment grade bonds have ____ exposure to credit risk than high-yield bonds. on February 3, 2018

I-spread is… on February 3, 2018

G-spread is… on February 3, 2018

Empirical Duration is… on February 3, 2018

Expected Excess Return (formula) on February 1, 2018

Approximate excess return on a credit security (formula) on February 1, 2018

Approximate Holding Period Return for a Bond using Effective Duration (formula) on January 28, 2018

Understanding convexity of zero-coupon bonds heuristic on January 28, 2018

Modified duration is… on January 28, 2018

Butterfly Spread (formula) on January 28, 2018

The essential relationship for full interest rate hedging (formula) on January 26, 2018

Notational principal needed to close the duration gap on an interest rate swap (formula) on January 26, 2018

Basis point value (BPV) on January 26, 2018

The money duration is… on January 25, 2018

Dispersion on January 25, 2018

The Macaulay duration is… on January 25, 2018

Rolling Yield (formula) on January 21, 2018

Expected change in price based on investor’s views of yield and yield spreads (formula) on January 21, 2018

Rolldown Return (formula) on January 20, 2018

Decomposing Expected Fixed-Income Returns (formula) on January 20, 2018

Fundamental Weighting on January 15, 2018

Non-deliverable Forward (NDF) on January 12, 2018

Premia income on January 12, 2018