Innovations

After-Tax Portfolio Value: The Missing Tax Option

Journal Of Investment Management, Vol. 14, No. 4, (2016), pp. 1–10

After-tax performance measurement requires a rigorous definition of after-tax portfolio value, which is also a prerequisite for effective portfolio management.

Optimal Municipal Bond Portfolios For Dynamic Tax Management

Journal Of Investment Management, Vol. 14, No. 1, (2016), pp. 81-99

Tax-Efficient Trading of Municipal Bonds

Financial Analysts Journal Volume 72 · Number 1 ©2016 CFA Institute

A Framework for Corporate Treasury Performance Measurement
Journal of Applied Corporate Finance (Winter 2005)
The innovative method detailed in this paper allows for meaningful periodic reporting of a debt manager’s performance relative to a custom benchmark portfolio.

Taking the Friction out of Saving Interest
BondWeek (July 14 2003)
The ratchet bond (an Andrew Kalotay Associates innovation) is a convenient, cost-effective surrogate for a callable bond, which achieves interest savings from declining interest rates without ongoing transaction cost.

Testing Hedge Effectiveness for FAS 133: The Volatility Reduction Measure
Journal of Applied Corporate Finance (Winter 2001)
The VRM, a ratio-based statistic invented and patented by Andrew Kalotay Associates, fulfills the spirit of FASB’s recommendations for hedge effectiveness testing, while correcting their major shortfalls. It can be used for both prospective and retrospective testing.

The Volatility Reduction Measure
Derivatives Strategy (March 2001)
An Andrew Kalotay Associates innovation, the VRM pinpoints the degree to which a hedge offsets the volatility of a particular asset, liability or portfolio. Retrospective testing on historical data and prospective testing through Monte Carlo simulation can be combined into a single hedge effectiveness score by properly weighting the inputs into the VRM formula.

The Challenge of Managing Credit Spreads: New Tools on the Horizon
Journal of Applied Corporate Finance (Fall 1999)
While corporate credit spreads vary just as underlying Treasury yields do, they are harder for corporate treasurers and other market participants to hedge against. Standard & Poor’s credit indices derived from market prices of selected liquid bonds offered a means to revolutionize the mangement of credit spreads.

Ratchet Bonds: Maximum Refunding Efficiency at Minimum Transaction Cost
Journal of Applied Corporate Finance (Spring 1999)
The ratchet bond structure, whose indexed coupon resets periodically only when rates fall, represents a superior alternative to callable bonds. Because it automatically lowers interest payments when rates decline, the inefficiencies and transaction costs associated with calling and refunding are eliminated.

Everything You Always Wanted to Know About Ratchet Bonds
BondWeek (July 13 1998)
The Tennessee Valley Authority’s putable automatic rate-reset securities (PARRS) issued in 1998 were the first-ever ratchet bonds – a revolutionary structure that captures virtually all the advantages of conventional bonds for both borrowers and investors, while eliminating the disadvantages. Andrew Kalotay first proposed the ratchet bond concept to TVA and worked with the agency to structure the PARRS security.

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