Analyzing Credit Alpha in an Integrated Risk and Performance Analysis
Research Paper
October 30, 2015
Preview
This Product Insight focuses on fixed income attribution and illustrates how an integrated risk and performance analysis can be carried out with BarraOne, for a corporate bond portfolio invested using a credit value strategy. The effectiveness of the analysis is illustrated in an important "real world" use case, showing how investors can analyze strategies which target the credit alpha coming from exposure to spread risk.
Read the full paper
Read the full paper
Provide your information for instant access to our research papers.
The content of this page is for informational purposes only and is intended for institutional professionals with the analytical resources and tools necessary to interpret any performance information. Nothing herein is intended to recommend any product, tool or service. For all references to laws, rules or regulations, please note that the information is provided “as is” and does not constitute legal advice or any binding interpretation. Any approach to comply with regulatory or policy initiatives should be discussed with your own legal counsel and/or the relevant competent authority, as needed.