Evaluating the performance of an active manager in institutional fixed income portfolios is often challenging due to the necessary customization of issuance-based benchmarks to meet specific investment objectives. These constraints can be related to risk limits including factors such as aggregate credit quality, issuer concentration, or asset type. Other constraints can be more liability-based such as duration, convexity, or minimum yield. Simply assessing a manager’s total returns relative to a broad-based index or peer group in isolation does not provide a complete representation of the quality of management.
We are seeking to produce a better representation of the investment opportunity set a manager has available based upon various portfolio management constraints and the investment process employed. This modeling will enable us to analyze the following:
- Realized portfolio total returns in the context of the available market opportunity set, given unique constraints.
- Evaluation of trade-offs between different constraints placed on managers and the potential risk profile and return potential in various market environments.
- Assessment of new investment managers and strategies to determine potential impacts to our overall fixed income portfolio’s risk profile and return potential.
- Actuarial Science: Prathamesh Padhye, Hanmiao Shen, Titan Wibowo
- Finance: Hongyu Li, Chensheng Zhang
Supervisor: Daniel Stier, Klara Buysse