Yield curve strategies, immunization, credit strategies and derivatives overlays and hedging.
40 cards · basic cards · AI-written, checked twice. Edit anything.
- What is a barbell strategy in fixed income?
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Concentrating purchases at short and long maturities while avoiding intermediate bonds- What is a bullet strategy in fixed income?
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Concentrating all holdings at a single maturity point on the yield curve- What is a ladder strategy in fixed income?
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Distributing bond purchases evenly across a range of maturities- What is a butterfly spread in fixed income?
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Selling intermediate-term bonds and using proceeds to buy short and long-term bonds- What does yield curve flattening indicate?
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Long-term rates are falling relative to short-term rates, narrowing the spread- What does yield curve steepening indicate?
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The spread between long-term and short-term rates is widening- Define key rate duration
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The sensitivity of a bond or portfolio to a one basis point change at a specific maturity point on the yield curve- What is rolling down the yield curve?
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Profiting from a bond's price appreciation as it moves to a shorter maturity with yields unchanged- Define term structure risk
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The risk that the shape of the yield curve will change unexpectedly, impacting portfolio returns- What is a carry strategy in the yield curve?
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Earning a profit by holding bonds whose income exceeds the cost of funding the position- What is the primary goal of immunization?
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To lock in a target return regardless of intermediate interest rate movements- What is duration matching in immunization?
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Setting a portfolio's effective duration equal to the investor's time horizon or liability duration- What does positive convexity accomplish?
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Provides larger price gains when rates fall and smaller price losses when rates rise- What does negative convexity mean for a bond?
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The bond's price increases less when rates decline due to embedded options like prepayment rights- What is Macaulay duration?
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The weighted average time in years until an investor receives all cash flows from a bond
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