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Factor Models in Performance Analysis

In: Quantitative Global Bond Portfolio Management

Author

Listed:
  • Gueorgui S. Konstantinov
  • Frank J. Fabozzi
  • Joseph S. Simonian

Abstract

Global bond portfolio managers use factor models for different purposes. Some factor models are utilized ex ante within the optimization process, while others are used in in order to understand portfolio behavior ex post. In this chapter, we focus on the latter application — explaining bond portfolio risk and return. We place special emphasis on model specification given that different types of bond portfolios may require different models to explain their behavior…

Suggested Citation

  • Gueorgui S. Konstantinov & Frank J. Fabozzi & Joseph S. Simonian, 2023. "Factor Models in Performance Analysis," World Scientific Book Chapters, in: Quantitative Global Bond Portfolio Management, chapter 10, pages 301-328, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789811272578_0010
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    More about this item

    Keywords

    Fixed-Income; Currency Management; Portfolio Management; Risk Management; Factors; Portfolio Optimization; Hedging; Portfolio Evaluation; Performance Attribution;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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