Barclays Global Aggregate Finance Assingment Help With Solution
Analyzing Bond Investment Strategies
As a seasoned fixed-income portfolio consultant, you are often asked to advise a variety of clients on their portfolio investment strategies as well as analyze the decisions they have made in the past. At the current time, you are working with two clients who have very different problems.
Your first client is a university endowment fund that has sought your advice on how it might restructure its fixed-income portfolio strategy. The characteristics of the portfolio’s current holdings are listed below:
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- Calculate the (i) Macaulay duration and (ii) the modified duration for Bond 4, assuming the instrument pays annual coupons. Show all of the details of your calculations.
- You would like to know what would happen to the value of Bond 4 if its yield suddenly increased by 65 basis points (i.e., from 5.60% to 6.25%). Without repricing the bond, calculate an estimate of the dollar change in the bond’s price and briefly explain whether this represents an over- or under-estimate of the actual value change the bond would actually experience.
- Calculate the modified duration for this portfolio (i.e., Mod Dp).
- Suppose you learn that the implied sensitivity (i.e., modified duration) of the endowment’s liabilities is about 7.50 years. Identify whether the bond portfolio is: (i) immunized against interest rate risk, (ii) exposed to net price risk, or (iii) exposed to net reinvestment risk. Briefly explain what will happen to the net position of the endowment fund if in the future there is a significant parallel upward shift in the yield curve.
- Your current active view for the fixed-income market over the coming months is that (i) Treasury yields will increase, but that (ii) corporate credit spreads will decrease. Briefly discuss how you could restructure the existing portfolio to take advantage of this view and indicate a specific portfolio allocation consistent with your restructuring plan.
Your second client is a bond fund manager who actively tries to outperform the Barclays Global Aggregate bond index by periodically adjusting the contents of her portfolio according to her prevailing market views. She has asked you to help her refine her trading strategy, but to do that you must first understand better what represents her current approach to investing. Accordingly, you have obtained the details of some of her “paired” portfolio trades (i.e., the sale of an existing portfolio holding to facilitate the purchase of another position) from various points in the past, which are summarized below:
Action Coupon Maturity YTM
(i) Sell: BBB-rated Utility Corp. Bond 9.9% 19.5 yrs 5.71%
Buy: BBB-rated Utility Corp. Bond 4.5 20.0 5.69%
(ii) Sell: U.S. Treasury Note 8.9% 8.5 yrs 4.31%
Buy: AAA-rated Energy Inc. Note 8.7% 8.5 4.70%
- For each paired trade listed above, describe the implied view of market-wide or security-specific conditions that would be consistent with that set of transactions being successful in producing a superior return relative to the benchmark. You may assume that all of the bonds involved are non-callable and pay semi-annual coupons.
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