"A Barra View of Active (Fixed Income) Management--Part 4", Barra Newsletter, September 1989, p10
Topic: Investing (Investment Management) |
Asset Class: Fixed Income
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In our May, June, and August (1989) Newsletters (see "A Barra View of Active Management: Parts 1, 2 and 3", U.S. Newsletters # 117/ 188, 120), we explored some aspects of active management. We looked at utility as the measure of an active portfolio. This concept can be applied to managers who use quantitative techniques for developing their insights and those that use more qualitative approaches. Either way, maximizing portfolio utility makes good use of manager insights, while avoiding unnecessary risk. These recent articles used U.S. equity management examples. This paper explores how these ideas make sense in a fixed income context.
Publication:
Authors: FEINSTEIN Allan
"A Barra View of Active Management--Part 3", Barra Newsletter, August 1989, p1
Topic: Investing (Investment Management) |
Asset Class: Fixed Income
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In Parts 1 and 2 of this series [See the May 1989 (#117) and June 1989 (#118) Barra U.S. Newsletters] we talked about active management from the perspective of a highly quantitative manager and from the viewpoint of a more qualitative manager. Both managers concentrated on asset selection. That is, they each had a method of selecting assets that they thought would experience extraordinary return. Any common factor positions that resulted were purely incidental to their processes. We used the Optimizer to reduce these common factor positions, while maintaining a tilt toward assets they preferred. This month, we will consider a manager with a factor tilt strategy. This manager has been hired to manage U.S. equity funds which outperform the S&P500. The manager has looked at the history of the Barra factors and has decided to tilt the portfolio toward risk indexes that have performed well in the past.
Publication:
Authors: FEINSTEIN Allan
