Description

An overview of a wide variety of different portfolio management techniques for active, passive, and liability matching investment strategies. The various objectives of fixed income portfolios and the techniques which can be used to achieve an investor's objectives.

Learning Objectives

---

1. Recall various fixed income portfolio management techniques, including both active and passive strategies.
2. Use core interest rate risk quantification tools including Macaulay and modified duration, convexity, and DV01.
3. Use management techniques around liability-driven investing, including cash flow matching and immunization.
4. Identify management techniques including rolling down the yield curve, duration management, yield curve shifts and twists, bullet and barbell portfolios.
5. Manage interest rate risk with derivatives.