: Fixed Income Analysis
BONDMAX- Providing multiple structured optimization strategies for your portfolio.
Portfolio optimization can be thought of as a method for quantifying the optimal integration of risk and return expectations with desired portfolio objectives and policy. BondMax provides users with an easy to use analytic platform with which they can perform state-of-the-art fixed income portfolio optimization strategies. These strategies are:
Immunization: Selecting assets such that the existing business is immune to a general change in the rate of interest. Implementation of this strategy allows you to lock in a series of fixed rate of returns over a pre-specified horizon.
Functional Duration Matching: Maximizing the expected return of your portfolio while matching the functional duration of your portfolio and your liability stream as closely as possible.
Liability Matching: Constructing a lowest cost portfolio with which to pay out the liability streams.
Index Tracking: Replicating the characteristics of an index with a portfolio while maximizing the expected return of the portfolio.
Swapping: Determining the cheapest to buy or most expensive to sell alternative for a set of fixed income securities with the same interest rate risk.
Additionally, users can create a customized optimization strategy using the customized option in BondMax. For example, given a benchmark target, and a number of interest rate scenarios, the user can set up an objective function to maximize the expected return of the portfolio subject to conditions that:
- The Portfolio Functional Duration is equal the Benchmark Functional Duration; and
- The Portfolio Return is better than the benchmark return under the worst case scenario.
With the optimization strategy determined, the users may also want to impose some constraints on the portfolio in terms of sector, quality, issuer, and lot size, in order to satisfy their investment objectives and policy. BondMax allows you to set up the desired portfolio characteristics easily.
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