Egge at 10:53, 27 July 2008

2008-07-27T10:53:03Z

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	{ Dedication (i) }: a __________ portfolio is one in which the assets are chosen such that their cash flows exactly match those of the liabilities.		{ Dedication (i) }: a __________ portfolio is one in which the assets are chosen such that their cash flows exactly match those of the liabilities.
	{ ~~Immunusation~~ (i) }: The main emphasis in on matching present value and modified duration rather than actual cash flows.		{ Immunisation (i) }: The main emphasis in on matching present value and modified duration rather than actual cash flows.
	{ Horizon } { matching }: is commonly used as a mixture of the above approaches where only cash flows which are only known with reasonable certainty to a point are matched.		{ Horizon } { matching }: is commonly used as a mixture of the above approaches where only cash flows which are only known with reasonable certainty to a point are matched.
	{ Indexed } { funds }: Historical data shows that fund managers in general, over a number of years, have had difficulty outperforming broad bond indices.		{ Indexed } { funds }: Historical data shows that fund managers in general, over a number of years, have had difficulty outperforming broad bond indices.

Egge: New page: {List four main considerations in establishing a portfolio's benchmark (or 'neutral') assert structure. |type="{}"} { maturity } { structure } (...

2008-07-27T09:58:13Z

New page: <quiz display=simple shuffle=true case=(i)> {List four main considerations in establishing a portfolio's benchmark (or 'neutral') assert structure. |type="{}"} { maturity } { structure } (...

New page

<quiz display=simple shuffle=true case=(i)>
{List four main considerations in establishing a portfolio's benchmark (or 'neutral') assert structure.
|type="{}"}
{ maturity } { structure } (eg. of liabilities)
{ asset } { types }, credit requirements
{ liquidity } requirements
{ risk } { profile }

{In terms of measurement, how could the benchmark asset structure be expressed?
|type="{}"}
{ term } to { maturity }
{ duration }
{ modified } { duration }
{ convexity }
{ dispersion }
{ sector } { allocation }

{ Passive management techniques
|type="{}"}
{ Dedication (i) }: a __________ portfolio is one in which the assets are chosen such that their cash flows exactly match those of the liabilities.
{ Immunusation (i) }: The main emphasis in on matching present value and modified duration rather than actual cash flows.
{ Horizon } { matching }: is commonly used as a mixture of the above approaches where only cash flows which are only known with reasonable certainty to a point are matched.
{ Indexed } { funds }: Historical data shows that fund managers in general, over a number of years, have had difficulty outperforming broad bond indices.

{
|type="{}"}
{ Modified } { duration } acts as a measure of price volatility, which can then be compared to that of the liability structure of performance benchmarks to establish the degree of divergence, and thus the potential for outperformance (or underperformance).
</quiz>

[[Interest Rate Markets Quiz 9]]

Interest Rate Markets Quiz 8 - Revision history

Egge at 10:53, 27 July 2008

Egge: New page: {List four main considerations in establishing a portfolio's benchmark (or 'neutral') assert structure. |type="{}"} { maturity } { structure } (...