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Product Insight - Analyzing Credit Alpha in an Integrated Risk and Performance Analysis

categories: Americas, EMEAI, Risk Management Analytics, Factor and Risk Modeling, Investing (Investment Management), Performance Analysis, Risk Management, Asia Pacific, Asset Owners, Credit, Product Documentation, BOHAK Andras, SHARP Nicholas, SIMON Zsolt, Asset Managers (Quant or Fundamental), general

tags: attribution, risk, performance, fixed income, credit alpha, credit value,

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.


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Product Insight - Analyzing Credit Alpha in an Integrated Risk and Performance Analysis