标题: Fixed Income Attribution [打印本页] 作者: Wendy01 时间: 2011-7-11 19:00 标题: Fixed Income Attribution
This may be a silly question. External Interest Rate Effect and Interest Rate Management Effect are two components of the overall return to a fixed income portfolio.
If the portfolio manager has hedged the interest rate risk, the two components(External Interest Rate Effect and Interest Rate Management Effect) will offset each other. -- Please correct me if I'm wrong.作者: skycfa 时间: 2011-7-11 19:00
Nobody has corrected you, therefore you must be right.作者: lcw77 时间: 2011-7-11 19:00
Define offset?
If you mean cancel each other's effect, then no , that is not correct作者: bpdulog 时间: 2011-7-11 19:00
It depends on how the mgr hedge the interest risk. It should not complete cancel each other out.
Remember that the mgr contribution/Interest rate management section can be further broken down into duration, convexity and yield-curve shape change components
He can do only duration hedge, two-bond hedge, key rate duration hedge... so match (offset) more (or less) closely with external interest rate.
> If the portfolio manager has hedged the interest
> rate risk, the two components(External Interest
> Rate Effect and Interest Rate Management Effect)
> will offset each other.
