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Fixed-income Attribution
Fixed-income Performance attribution, attribution is the process of measuring returns generated by various sources of risk in a fixed income Portfolio (finance), portfolio, particularly when multiple sources of return are active at the same time. For example, the risks affecting the return of a Bond (finance), bond portfolio include the overall level of the yield curve, the slope of the yield curve, and the credit spreads of the bonds in the portfolio. A portfolio manager may hold firm views on the ways in which these factors will change in the near future, so in three separate risk decisions he positions the assets in the portfolio to take advantage of the expected forthcoming market movements. If all views subsequently prove to be correct, then each decision will generate a profit. If one view is wrong, it will generate a loss, but the effect of the other bets may compensate. The overall performance will then be the sum of the performance contributions from each source of risk. ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Performance Attribution
Performance attribution, or investment performance attribution is a set of techniques that performance analysts use to explain why a portfolio's performance differed from the benchmark. This difference between the portfolio return and the benchmark return is known as the active return. The active return is the component of a portfolio's performance that arises from the fact that the portfolio is actively managed. Different kinds of performance attribution provide different ways of explaining the active return. Attribution analysis attempts to distinguish which of the two factors of portfolio performance, ''superior stock selection'' or ''superior market timing'', is the source of the portfolio's overall performance. Specifically, this method compares the total return of the manager's actual investment holdings with the return for a predetermined benchmark portfolio and decomposes the difference into a ''selection effect'' and an ''allocation effect''. Simple example Conside ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Covariance Matrix
In probability theory and statistics, a covariance matrix (also known as auto-covariance matrix, dispersion matrix, variance matrix, or variance–covariance matrix) is a square matrix giving the covariance between each pair of elements of a given random vector. Any covariance matrix is symmetric and positive semi-definite and its main diagonal contains variances (i.e., the covariance of each element with itself). Intuitively, the covariance matrix generalizes the notion of variance to multiple dimensions. As an example, the variation in a collection of random points in two-dimensional space cannot be characterized fully by a single number, nor would the variances in the x and y directions contain all of the necessary information; a 2 \times 2 matrix would be necessary to fully characterize the two-dimensional variation. The covariance matrix of a random vector \mathbf is typically denoted by \operatorname_ or \Sigma. Definition Throughout this article, boldfaced unsub ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Modified Duration
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Modified may refer to: * ''Modified'' (album), the second full-length album by Save Ferris *Modified racing, or "Modifieds", an American automobile racing genre See also * Modification (other) * Modifier (other) Modifier may refer to: * Grammatical modifier, a word that modifies the meaning of another word or limits its meaning ** Compound modifier, two or more words that modify a noun ** Dangling modifier, a word or phrase that modifies a clause in an a ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Thomas Ho (finance)
Thomas Ho may refer to: * Thomas Ho (actor), British actor of Chinese descent * Thomas Ho (finance), pioneering financial modeller * Tommy Ho, American former tennis player * Thomas Heffernan Ho, Hong Kong equestrian See also * Ho (surname) {{hndis, Ho, Thomas ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Yield Curve
In finance, the yield curve is a graph which depicts how the yields on debt instruments - such as bonds - vary as a function of their years remaining to maturity. Typically, the graph's horizontal or x-axis is a time line of months or years remaining to maturity, with the shortest maturity on the left and progressively longer time periods on the right. The vertical or y-axis depicts the annualized yield to maturity. Those who issue and trade in forms of debt, such as loans and bonds, use yield curves to determine their value. Shifts in the shape and slope of the yield curve are thought to be related to investor expectations for the economy and interest rates. Ronald Melicher and Merle Welshans have identified several characteristics of a properly constructed yield curve. It should be based on a set of securities which have differing lengths of time to maturity, and all yields should be calculated as of the same point in time. All securities measured in the yield curve ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Bond Duration
In finance, the duration of a financial asset that consists of fixed cash flows, such as a bond, is the weighted average of the times until those fixed cash flows are received. When the price of an asset is considered as a function of yield, duration also measures the price sensitivity to yield, the rate of change of price with respect to yield, or the percentage change in price for a parallel shift in yields. The dual use of the word "duration", as both the weighted average time until repayment and as the percentage change in price, often causes confusion. Strictly speaking, Macaulay duration is the name given to the weighted average time until cash flows are received and is measured in years. Modified duration is the name given to the price sensitivity and is the percentage change in price for a unit change in yield. Both measures are termed "duration" and have the same (or close to the same) numerical value, but it is important to keep in mind the conceptual distinctions betw ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Collateralized Debt Obligation
A collateralized debt obligation (CDO) is a type of structured asset-backed security (ABS). Originally developed as instruments for the corporate debt markets, after 2002 CDOs became vehicles for refinancing mortgage-backed securities (MBS).Lepke, Lins and Pi card, ''Mortgage-Backed Securities'', §5:15 (Thomson West, 2014). Like other private label securities backed by assets, a CDO can be thought of as a promise to pay investors in a prescribed sequence, based on the cash flow the CDO collects from the pool of bonds or other assets it owns. Distinctively, CDO credit risk is typically assessed based on a probability of default (PD) derived from ratings on those bonds or assets. The CDO is "sliced" into sections known as "tranches", which "catch" the cash flow of interest and principal payments in sequence based on seniority. If some loans default and the cash collected by the CDO is insufficient to pay all of its investors, those in the lowest, most "junior" tranches suffer l ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
General Motors
The General Motors Company (GM) is an American Multinational corporation, multinational Automotive industry, automotive manufacturing company headquartered in Detroit, Michigan, United States. It is the largest automaker in the United States and was the largest in the world for 77 years before losing the top spot to Toyota in 2008. General Motors operates manufacturing plants in eight countries. Its four core automobile brands are Chevrolet, Buick, GMC (automobile), GMC, and Cadillac. It also holds interests in Chinese brands Wuling Motors and Baojun as well as DMAX (engines), DMAX via joint ventures. Additionally, GM also owns the BrightDrop delivery vehicle manufacturer, GM Defense, a namesake Defense vehicles division which produces military vehicles for the United States government and military; the vehicle safety, security, and information services provider OnStar; the auto parts company ACDelco, a GM Financial, namesake financial lending service; and majority ownership in t ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Treasury Curve
A treasury is either *A government department related to finance and taxation, a finance ministry. *A place or location where treasure, such as currency or precious items are kept. These can be state or royal property, church treasure or in private ownership. The head of a treasury is typically known as a treasurer. This position may not necessarily have the final control over the actions of the treasury, particularly if they are not an elected representative. The adjective for a treasury is normally treasurial. The adjective "tresorial" can also be used, but this normally means pertaining to a ''treasurer''. History The earliest found artefacts made of silver and gold are from Lake Varna in Bulgaria dated 4250–4000 BC, the earliest of copper are dated 9000–7000 BC. The term ''treasury'' was first used in Classical times to describe the votive buildings erected to house gifts to the gods, such as the Siphnian Treasury in Delphi or many similar buildings erected ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Discounted Cash Flow
The discounted cash flow (DCF) analysis is a method in finance of valuing a security, project, company, or asset using the concepts of the time value of money. Discounted cash flow analysis is widely used in investment finance, real estate development, corporate financial management and patent valuation. It was used in industry as early as the 1700s or 1800s, widely discussed in financial economics in the 1960s, and became widely used in U.S. courts in the 1980s and 1990s. Application To apply the method, all future cash flows are estimated and discounted by using cost of capital to give their present values (PVs). The sum of all future cash flows, both incoming and outgoing, is the net present value (NPV), which is taken as the value of the cash flows in question; see aside. For further context see valuation overview; and for the mechanics see valuation using discounted cash flows, which includes modifications typical for startups, private equity and venture cap ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Yield To Maturity
The yield to maturity (YTM), book yield or redemption yield of a bond or other fixed-interest security, such as gilts, is an estimate of the total rate of return anticipated to be earned by an investor who buys a bond at a given market price, holds it to maturity, and receives all interest payments and the capital redemption on schedule. It is the (theoretical) internal rate of return (IRR, overall interest rate): the discount rate at which the present value of all future cash flows from the bond (coupons and principal) is equal to the current price of the bond. The YTM is often given in terms of Annual Percentage Rate (A.P.R.), but more often market convention is followed. In a number of major markets (such as gilts) the convention is to quote annualized yields with semi-annual compounding (see compound interest); thus, for example, an annual effective yield of 10.25% would be quoted as 10.00%, because 1.05 × 1.05 = 1.1025 and 2 × 5 = 10. Main assumptions The YTM calculat ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Factor Model
Factor, a Latin word meaning "who/which acts", may refer to: Commerce * Factor (agent), a person who acts for, notably a mercantile and colonial agent * Factor (Scotland), a person or firm managing a Scottish estate * Factors of production, such a factor is a resource used in the production of goods and services Science and technology Biology * Coagulation factors, substances essential for blood coagulation * Environmental factor, any abiotic or biotic factor that affects life * Enzyme, proteins that catalyze chemical reactions * Factor B, and factor D, peptides involved in the alternate pathway of immune system complement activation * Transcription factor, a protein that binds to specific DNA sequences Computer science and information technology * Factor (programming language), a concatenative stack-oriented programming language * Factor (Unix), a utility for factoring an integer into its prime factors * Factor, a substring, a subsequence of consecutive symbols in a s ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
