Fixed income relative value analysis ebook by doug huggins. Trading the fixed income, inflation and credit markets. Download it once and read it on your kindle device, pc, phones or tablets. We have new and used copies available, in 0 edition starting at. More than 90% of the worlds largest 500 companies use fixed income derivatives to manage interest rate and credit risk exposures. Contents foreword by henry ritchotte relative value. Catalogue search results university of toronto libraries. Everyday low prices and free delivery on eligible orders. Relative value substrategies fixed income securities used in the relative value strategy may include sovereign bonds, interest rate swaps, futures, mortgage and assetbacked securities, municipal bonds and corporate debt. Conversely, deviations and relative value will be larger and more persistent when funding constraints are tight and arbitrage capital is scarce, as in 2008. Macaulay, modifi ed, and approximate duration 162 3. He managed the european fixed income relative value research group at deutsche bank in the late 90 s, when the group was voted best in its class for three consecutive years by the readers of global investor magazine. Contents preface xiii about the authors xv chapter 1 time value of money 1 future. Firv investors most commonly exploit interestrate anomalies in the large, liquid markets of north america, europe and the pacific rim.
In fixed income relative value analysis, doug huggins and christian schaller address this gap with a set of analytic tools for assessing value in the markets for governmentbonds, interest rate swaps, and related basis swaps, as well as associated futures and options. In this latest edition, he explains the new regulatory twists, the evolving derivatives market, as well as a new set of instruments and opportunities in the bond market. Relative value trading a basic introduction youtube. Offers insights into valueatrisk, relative value measures, convertible bond analysis, and much more includes updated charts and descriptions using bloomberg screens covers important analytical concepts used by portfolio managers understanding fixedincome analytics is essential in todays dynamic financial environment. In fixed income relative value analysis, doug huggins and christian schaller address this gap with a set of analytic tools for assessing value in the markets for government bonds, interest rate swaps, and related basis swaps, as well as associated futures and options. A practitioners guide to the theory, tools, and trades by doug huggins, christian schaller as western governments issue increasing amounts of debt, the fixed income markets have never been more. Learn more about the fixed income analysis tools limitations and exclusions.
To a person, they agreed that asset swaps are a standard tool in t he fixedincome analyst. A practitioners guide to the theory, tools, and trades fixed income relative value analysis. The fixed income analysis tool is designed for educational purposes only and you should not rely on it as the primary basis for your investment, financial or tax planning decisions. Analysis of risk chapter 4 understanding fixedincome risk and return 153 learning outcomes 153 1. A practitioners guide to the theory, tools, and trades bloomberg financial kindle edition by huggins, doug, schaller, christian. A practitioners guide to the theory, tools, and trades. Relative value strategies can be used to express views on economic and policy outlooks across countries, or dislocations within a single market, while limiting. Bloomberg financial series doug huggins author christian schaller author 20 global macro trading. For example, in valuing equities from a bottomsup perspective, we use either comps or dcf analysis and i. As western governments issue increasing amounts of debt, the fixed income markets have never been more important. Fixed income securities hebrew university of jerusalem. Setting investment objectives for fixedincome investors 463 iii. Fixed income products are generally bonds issued by various government treasuries, companies or international organizations. Statistical models 17 chapter 2 mean reversion 19 chapter 3 principal component analysis 51 part ii.
Fixed income relative value analysis a practitioners guide. He joined abn amro in 2001 as global head of fixed income relative value research. Hi all, ive recently wanted to learn how to invest in fixed income and was wondering what models, etc. This has largely been made possible due to changes in the markets themselves along.
Fixedincome relativevalue investing firv is a hedge fund investment strategy made popular by the failed hedge fund longterm capital management. Bloomberg financialseries overdrive rakuten overdrive. In fixed income relative value analysis, doug huggins and christian schaller address this gap with a set ofanalytic tools for assessing value in the markets for governmentbonds, interest rate swaps, and related basis swaps, as well asassociated futures and options. The series will provide a common reference for key, basic concepts and speak plainly to reduce confusion or dispel any myths about fixed income relative value trading strategies.
Midas technical analysis bloomberg financial series andrew coles author david hawkins author 2011 bloomberg visual guide to. Taking a practitioners point of view, the book presents the theory behind. He managed the european fixed income relative value research group at deutsche bank in the late 90s, when the group was voted best in its class for three consecutive years by the readers of global investor magazine. The second edition of the fixedincome securities and derivatives handbook is a fully updated and expanded postcrash edition of moorad choudhrys bestselling guide. Methods of fixed income relative value the most common strategy to exploit deviations of the law of one price is the socalled relative value trade. Download pdf fixedincomerelativevalueanalysis free. This is shown at figure 4, the zspread graph for the gkn bond for the six months prior to our calculation date.
Further, financial engineers keep inventing new fixed income derivatives to help firms transfer risk more effectively and selectively. Developing and implementing a portfolio strategy 471 iv. Doug huggins has been working in the fixed income markets in the us and europe for 25 years. Top best fixed income books traditionally, fixed income securities are considered as rather lowincome instruments but of late there has been a tremendous shift in the fixed income markets which have become increasingly attractive to modern investors in terms of strategic growth and returns made possible.
Huggins, doug, 20 individualization based collaborative customer relationship management. Use features like bookmarks, note taking and highlighting while reading fixed income relative value analysis. Fixed income relative value systemic risk and systematic. Fixed income derivatives are standard instruments for managing financial risk. In this environment, we think relative value strategies offer compelling opportunities to find value in fixed income. Fixed income analysis is the valuation of fixed income or debt securities, and the analysis of their interest rate risk, credit risk, and likely price behavior in hedging portfolios. Yet the methods for analyzing these markets have failed to keep pace with recent. Fixed income relative value analysis by huggins, doug ebook. Fixed income relative value analysis a proctitioiirs guidi to the theory, fools, uii trades doug huggins and christian schaller wiley bloomberg press. The analyst might conclude to buy, sell, hold, hedge or stay out of the particular security. Motives, structures, and modes of collaboration for mass customizationand crm. Christian schaller western governments issue increasing amounts of debt, the fixed income markets have never been more important.