A tool for constructing, optimizing, and analyzing the performance of a fixed coupon bond portfolio

Analyze a fixed income portfolio’s yield curve and spread exposure relative to its index benchmark.

  • Yield curve exposure (effective duration and key rate durations) comparison
  • Credit, industry & geographical sector exposure (cross tabulation reports) comparison
  • Issuer exposure comparison
  • Scenario analysis comparison
  • Yield and spread comparison

Dissect the return of the portfolio and index into components explaining the effect of various market changes.

  • Return attributable to yield curve change (rolling yield, parallel shift effect, reshape effect)
  • Return attributable to spread and spread change
    • Sector and issuer weighting effect
    • Issue selection effect
  • Identify issues, issuers, and sectors with greatest impact on portfolio return

Maximize portfolio return and index tracking using our built-in user friendly and powerful optimizer.

  • Match index yield curve exposure
  • Issue, issuer and sector diversification constraints
  • Scenario return constraints and max/min optimization
  • Soft constraints and sector matching objective for best-match portfolio within liquidity and turnover limitations
  • Excel-based easy-to-use implementation
  • Built-in interface to Bloomberg database for descriptive and terms/conditions data
  • Built-in interface to Kalotay BondOAS™ library