Managing Fixed Income Portfolios

Frank J. Fabozzi is a financial consultant, the editor of the Journal of Portfolio Management, and an Adjunct Professor of Finance at Yale University's School of Management.

• Preface. SECTION I: INTEREST RATE RISK MEASURES. 1. Fixed Income Risk (R. Kahn). 2. Measuring and Managing Interest-Rate Risk (S. Richard and B. Gord). 3. Value Measures for Managing Interest-Rate Risk (M. Kreisler and R. Worley). 4. Dissecting Yield Curve Risk (W. Phoa). 5. Bond Convexity: Hidden Risk, Hidden Value (K. Grant). 6. Measuring Plausibility of Hypothetical Interest Rate Shocks (B. Golub and L. Tilman). 7. Valuation and Interest Rate Risk Management Using the Arbitrage-Free Bond Canonical Decomposition Methodology (T. Ho and M. Chen). SECTION II: GENERATING EXPECTATIONAL INPUTS. 8. Fixed Income Portfolio Investing: The Art of Decision Making (C. Dialynas and E. Rachlin). 9. Forecasting Interest Rates (W. Woolford). 10. A Predictive Modeling Framework for Anticipating Long-Term Interest Rates (G. Boal and E. Plowden). SECTION III: PORTFOLIO STRATEGIES: ACTIVE AND STRUCTURED. 11. Active Bond Portfolio Management: An Expected Return Approach (F. Trainer, Jr.). 12. Managing Indexed and Enhanced Indexed Bond Portfolios (K. Volpert). 13. Managing a Fixed Income Portfolio Versus a Liability Objective (R. Ryan). 14. Managing Market Risk at Long-Term Investment Funds (L. Gibson, III). 15. Managing Synthetic GIC Portfolios (K. Tourville and J. Caswell). 16. A User's Guide to Buy-Side Bond Trading (R. Gerber). 17. Fixed Income Arbitrage Strategies (J. Berens and R. Friend). 18. The Persistence of Fixed Income Style Performance: Evidence from Mutual Fund Data (R. Kahn and A. Rudd). 19. Consideration of Risk-Based Capital in Daily Portfolio Decisions for Life Insurers (J. Saf). SECTION IV: MANAGEMENT BY PRODUCT. 20. Management of a High-Yield Bond Portfolio (J. Madden and J. Balestrino). 21. Managing Municipal Bond Portfolios (J. Slater). 22. Using Busted Convertibles to Enhance Performance (W. Leach). 23. A Practical Guide to Relative Value for Mortgages (W. Phoa). 24. Commercial Mortgage-Backed Securities: Real Estate Exposure with Managed Risk (J. DeMichele and W. Adams). 25. Corporate Loan Portfolio Management (E. Asarnow and M. McAdams). SECTION V: INTERNATIONAL FIXED INCOME INVESTING. 26. International Bond Portfolio Management (C. Steward and J. Lynch). 27. International Fixed Income Investment: Philosophy and Process (A. Faillace and L. Thomas). SECTION VI: PERFORMANCE EVALUATION. 28. Fixed Income Attribution Analysis (F. Jones and L. Peltzman). 29. Measuring Performance of the Insurance Company Portfolio (G. Hahn and J. Saf). Index.