dr. luděk koleček fixed income risk controlling universität passau 06.06.2012
Post on 14-Dec-2015
218 Views
Preview:
TRANSCRIPT
Dr. Luděk Koleček
Fixed Income Risk Controlling
Universität Passau06.06.2012
© IDS GmbH – Analysis and Reporting Services
2
2
Statistics based on legal entities as of May 2011
IDS is a managed service provider operating worldwide
63% Asset Managers
22% Insurance Companies
10% Banks
5% Other Sectors
76% Europe
17% Asia
7% USA
63% Allianz Group
37% Third Party
Regions
Industry
StructureIDS GmbH – Analysis and Reporting Services
100% subsidiary of Allianz SE
established in 2001
headquarter in Munich, branch in Frankfurt/Main
outposts at client sites in Minneapolis, Hong Kong, San Francisco; under evaluation:Milan
More than 250 employees from about 30 nations with sector-specific background
© IDS GmbH – Analysis and Reporting Services
3
3
IDS provides operational investment controlling services
Operational Investment Controlling ServicesOne-stop shop
Flexible and high-grade
Consistent over all reports Short set-up and processing times
Market Risk Measurement
DerivateV / UCITS III-guideline
Market Risk Analysis
Liquidity Reporting
Guarantee Fund Controlling
Market Risk Measurement
DerivateV / UCITS III-guideline
Market Risk Analysis
Liquidity Reporting
Guarantee Fund Controlling
RiskRisk
Performance Measurement
Performance Attribution
Outperformance Fee
Composite Calculation
GIPS Service
Peer Group Analysis
Stock Option Plans
Performance Measurement
Performance Attribution
Outperformance Fee
Composite Calculation
GIPS Service
Peer Group Analysis
Stock Option Plans
PerformancePerformance
Factsheets
KID
Solvency Reporting
VAG Reporting: Investment Funds §54d VAG
Major Shareholding Reporting
Pension Fund Reporting
Customized Reporting
Factsheets
KID
Solvency Reporting
VAG Reporting: Investment Funds §54d VAG
Major Shareholding Reporting
Pension Fund Reporting
Customized Reporting
ReportingReporting
Fund Data Hub / GroMiKV
Customized Benchmarks
Controlling specific market data (yield and credit curves for long maturities and illiquid markets, inflation rates)
Fund Data Hub / GroMiKV
Customized Benchmarks
Controlling specific market data (yield and credit curves for long maturities and illiquid markets, inflation rates)
Data Management Data Management
Portfolio Manager, Fund Accounting Department, Compliance Officers,
Marketing/Sales, Product Specialists, Account Manager,
Investment Controlling
Portfolio Manager, Fund Accounting Department, Compliance Officers,
Marketing/Sales, Product Specialists, Account Manager,
Investment Controlling
Asset ManagersAsset Managers
Compliance Officers, Controller, Custodian Bank/AMC-Controlling,
Sales/Account Management
Compliance Officers, Controller, Custodian Bank/AMC-Controlling,
Sales/Account Management
BanksBanks
COOs/CFOs/CIOs of Insurance Companies, Pension Funds,
Corporate Treasury, Foundations
COOs/CFOs/CIOs of Insurance Companies, Pension Funds,
Corporate Treasury, Foundations
Institutional InvestorsInstitutional Investors
© IDS GmbH – Analysis and Reporting Services
4
4
45
22
Market Risk Models3
1
Multifactor Risk Model (Wilshire Axiom)
Discussion
Duration
Fixed Income instruments
Agenda
© IDS GmbH – Analysis and Reporting Services
5
5
What are “Fixed Income Instruments”?
INTEREST
Bonds (government bonds, sovereign bonds, municipal bonds, corporate bonds, agency bonds), inflation-linked bonds, etc.
Money market instruments (commercial papers) Asset backed securities ABS (MBS, CDO, CMO,…) Fixed income derivative instruments Swaps, repos,
swaptions, bond futures, interest rate futures, credit default swaps, currency forwards,…
© IDS GmbH – Analysis and Reporting Services
6
6
Interest rates
- Yield, Yield to maturity, bonds pricing
-Yield curves
© IDS GmbH – Analysis and Reporting Services
7
7
German sovereign yield curve (Bloomberg 31/05/2012)
© IDS GmbH – Analysis and Reporting Services
8
8
Duration
-Quantification of price sensitivity to yield
-Macauley Duration: measures weighted average maturity of cash flows
-Modified Duration: is a price sensitivity measure
-Effective Duration: more exact measure of price sensitivity
© IDS GmbH – Analysis and Reporting Services
9
9
Effective duration (option adjused duration)-The yield curve structure is taken into account-The embedded options (optionality) is taken into account: callable bonds, putable bonds, prepayment options
Duration „Versions“
- Modified duration at call, at worst, as maturity- Duration calculation for Inflation-linked bonds („yield beta“)
- Spread duration – sensitivity of a bond price to changes in the spread (credit)
Pure Level (d1) Shift (+/- 100 bp)
1.0
2.0
3.0
4.0
5.0
6.0
7.0
0 5 10 15 20 25 30
Term (Years)
Yie
ld (%
)
Rising
Falling
Initial Curve
Bullish Curve
Bearish Curve
© IDS GmbH – Analysis and Reporting Services
10
10
Convexity
- Typically the price is a convex function of interest rate changes- Convexity measures the curvature of the price-interest rate
function- Mathematically: it is the 2nd derivation of the price with respect
to interest rate
© IDS GmbH – Analysis and Reporting Services
11
11
Credit spread
- Spread is an amount that is added to the government yield curve to obtain the market price
-Option Adjusted Spread (effective spread) – includes also the bond optionalities
-Spread Duration Sensitivity of a bond price to changes in the spread Principally the same as regular duration. Differences for floating bonds and mortgage back securities
(prepayment)
-Rating
© IDS GmbH – Analysis and Reporting Services
12
12
© IDS GmbH – Analysis and Reporting Services
13
13
© IDS GmbH – Analysis and Reporting Services
14
14
Market Risk
- Ex-post: derived from realized performance figures Volatility (standard deviation of portfolio returns in the
past) Tracking error (standard deviation of relative portfolio
returns, i.e. difference of portfolio and benchmark returns) Historic Portfolio/Benchmark holdings during the evaluation
period (e.g. 3 years)
- Ex-ante: derived from a market model Absolute and relative (volatility and tracking error) Value at Risk - maximal expected loss amount within a
given time horizon in the future Current portfolio/benchmark holdings
© IDS GmbH – Analysis and Reporting Services
15
15
Market Risk – Ex-ante Risk Models
- Time Series Models Forecast of the expected risk on the basis of single security
return time series, like Historical Simulation techniques, Monte-Carlo techniques
higher forecast accuracy no explanation of risk sources high computational effort
- Factor Models Based on factor returns and factor exposures lower forecast accuracy explanation of risk sources available Prespecified factor models vs. Principle component
© IDS GmbH – Analysis and Reporting Services
16
16
Wilshire AXIOM – Multi Factor Model
- A model with pre-specified exposure based on observations in the market between security returns and security characteristics.
- Decomposition of security returns into yield, systematic effects and an idiosyncratic term as
Local security
return Yield return
, , , ,
Yield return Security exposurescomprises both to systematic effesystematic and
idiosyncratic effects,to the extent that
security pricing doesas well
i t i t i j tr y D
Idiosyncratic
Systematic factor effects return
, ,
Systematic effects,cts, e.g., magnitude of
e.g., duration parallel shift in yields
j t i tj
Wilshire AXIOM Global Credit Risk Model
© IDS GmbH – Analysis and Reporting Services
17
17
Term structure factors – shift, twist, butterfly
Pure Level (d1) Shift (+/- 100 bp)
1.0
2.0
3.0
4.0
5.0
6.0
7.0
0 5 10 15 20 25 30
Term (Years)
Yie
ld (%
)
Rising
Falling
Initial Curve
Bullish Curve
Bearish Curve
Pure Slope (d2) Shift (+/- 100 bp)
1.0
2.0
3.0
4.0
5.0
6.0
7.0
0 5 10 15 20 25 30
Term (Years)
Yie
ld (%
)
Bullish Curve
Bearish Curve
Initial Curve
Steepening
Flattening
Pure Curvature (d3) Shift (+/- 100 bp)
1.0
2.0
3.0
4.0
5.0
6.0
7.0
0 5 10 15 20 25 30
Term (Years)
Yie
ld (%
)
Bullish Curve
Initial Curve
Bearish Curve
Bulging
Saucering
© IDS GmbH – Analysis and Reporting Services
18
18
Estimated yield curve changes with D1, D2 and D3
t
tt
tttt
df
Ftdf
kyD
/1
1
Estimated vs. real yield curve change (GBP 09/2011 - 12/2011)
-0.7
-0.6
-0.5
-0.4
-0.3
-0.2
-0.1
0
0.1
0.2
0 5 10 15 20 25 30 35
Estimated Shift yield curves change BB
1:1 tFD 7/1:2 tt eFD
)7/1()7/(:3 tt etFD
© IDS GmbH – Analysis and Reporting Services
19
19
Wilshire AXIOM – Multi Factor Model (3) - Overview
Multi Factor Model Yield
Term Structure Model
Sector
Quality
Currency
Other Spread (Euro Country, Prepayment, etc.)
© IDS GmbH – Analysis and Reporting Services
20
20
Wilshire AXIOM – Multi Factor Model (2)
Returns to each of the factors are estimated with a two-stage cross-sectional regression
The first stage includes the D1, D2, and D3 factors for all of the currencies as well as the euro spread factors
The second stage estimates the credit factors Regression universe: mainly Merrill Lynch Regression period: 18 month equally weighted daily data
The covariance matrix is built from the daily estimated factor returns.
New matrices are created each month-end. Ex-ante tracking error and risk estimates are determined by
applying the calculated sensitivities to the covariance matrix.
Wilshire AXIOM Global Credit Risk Model – Regression and Covariance Matrix
© IDS GmbH – Analysis and Reporting Services
21
21
Cross Sectional Regression Process
First regression measures Treasury yield curve shifts by regressing local currency returns in excess of yield and convexity effects on D1, D2, and D3 on Treasury bonds for each currency in model:
Second regression measures spread changes by sector and quality buckets by regressing return in excess of yield, convexity, and D1, D2, and D3 on spread durations and elasticities for non-Treasury bonds for each currency in model:
© IDS GmbH – Analysis and Reporting Services
22
22
Specific Risk
The specific risk factor coefficients are obtained through a two-step estimation using the factor return residuals. The basic assumptions about the factor return residuals specific risk from the regression are:
• The residuals follow a normal distribution.• The residuals have no correlation with the factor returns.• The estimated risk is proportional to the spread duration.
Step I : Sector coefficients calibrated with Aaa rated securities.
Step II : Quality coefficients calibrated with non-Aaa rated securities.
© IDS GmbH – Analysis and Reporting Services
23
23
Specific Risk Illustration: Quality Coefficient
© IDS GmbH – Analysis and Reporting Services
24
24
Risk Report
Portfolio Fund 1 Portfolio Database: SIMCORP:DIM
Benchmark Benchmark 1 Base currency: EUR
Portfolio Description Asset type Rating Allocation in %PF BM PF BM PF BM
MkVal MkVal Eff Dur Eff Dur MkVal MkVal% % Contr Contr % %
Portfolio 84 208 4.4 5.0 4.0 6.3 3.8 BBB+ 1.16 0.19 Bond 98.1 100.0 4.1 5.3 AAA 25.6 43.8Benchmark 3,026 5.3 5.4 4.0 7.0 2.7 A+ 0.08 0.06 Future 0.0 0.0 0.3 0.0 AA 12.8 16.4
Option 0.0 0.0 0.0 0.0 A 43.6 30.6FX 0.1 0.0 0.0 0.0 BBB 12.4 7.7Cash 1.9 0.0 0.0 0.0 High Y 4.5 1.4
n.r. 1.2 0.1
Contribution to Effective Duration Hedged Currency weights (%)
Sector risk (government by country) Effective Duration contribution by sector
%Edur Contr
Sdur Contr
%Edur Contr
Sdur Contr
PF(24) 27.5 1.6 1.6 PF(1) 1.1 0.1 0.1BM 56.4 3.5 3.5 BM 2.9 0.2 0.2PF(1) 0.6 0.0 0.0 PF(3) 4.2 0.3 0.3BM 0.0 0.0 0.0 BM 3.6 0.2 0.2PF(13) 7.7 0.3 0.3 PF(2) 2.4 0.2 0.2BM 8.0 0.4 0.4 BM 17.1 1.0 1.0PF(1) 1.3 0.1 0.1 PF(8) 9.7 0.4 0.4BM 3.0 0.1 0.1 BM 7.2 0.4 0.4PF(3) 2.1 0.2 0.2 PF(1) 0.2 0.0 0.0BM 1.0 0.0 0.0 BM 15.6 1.0 1.0PF(6) 4.1 0.6 0.6 PF(13) 14.5 0.8 0.8BM 3.0 0.2 0.2 BM 13.1 0.8 0.8PF(27) 8.0 0.3 0.3 PF(2) 1.3 0.0 0.0BM 6.7 0.3 0.3 BM 0.1 0.0 0.0PF 0.0 0.0 0.0 PF(2) 1.0 0.1 0.1BM 1.4 0.1 0.1 BM 4.6 0.3 0.3PF(39) 16.5 0.4 0.6 PF(1) 1.3 0.1 0.1BM 8.1 0.3 0.4 BM 0.3 0.0 0.0PF(38) 8.6 0.0 0.3 PF(6) 4.1 0.6 0.6BM 0.1 0.0 0.0 BM 3.0 0.2 0.2PF(11) 2.4 0.0 0.0 PF(9) 3.6 0.0 0.2BM 0.0 0.0 0.0 BM 3.9 0.0 0.2PF(26) 18.3 0.6 0.7BM 12.2 0.5 0.5PF(9) 1.1 0.0 0.1BM 0.0 0.0 0.0PF(10) 1.8 0.3 0.3BM 0.0 0.0 0.0
Risk (ex-ante) Wilshire Axiom Multi-Factor Model
Factor Risk
Duration Term Sector Quality Other spread Currency CovarianceSpecific Risk
TE Risk Decomposition in time Total Risk and Effective Duration in time
Comments
Risk Report 30/03/2012
MarketValue
Gov
Default prob(%)
SprDur
EffDur
BE
Gov AT
Yield toMat
AvgLife
AvgCpon
% n.r.Rating
Avg
No. ofinvestm
ents
Disclaimer: All details and information contained in this report have been carefully investigated and checked by IDS GmbH – Analysis and Reporting Services (IDS), however IDS does not assume liability for the accuracy and/or completeness of the content. The content of the report must be considered confidential. The design of the report is subject to copyright ©.
245
41.2 (15%) 60.0 (5%)
395.228.1 28.1 70.4
47.8
260
20111230
-558.9 -521.9
313.0
42.7 (2%) 60.8 (2%)
65.631.8 24.6
20120330
105.4 261.3 280.7 386.9 340.2
47.1
444.6
7.6 (0%)-125.2 -102.7
1 Day VaR (95%) in tsd 92 175
Ris
kD
ec
om
po
sit
ion
13.1 9.0
89.8
0.088.9 268.1
-684.14.8 9.8 4.8 9.8
77.5 340.0380.7
332.9
19.7 18.3
449.2457.9 484.2
Total
90.3 11.4 359.4
Tracking Error (in bps) Total Risk PF (in bps)
97.1 (85%) 254.4 (95%) 277.4 (98%) 382.1 (98%)
2012033020120330 20111230
0.0-651.9
7.6 (0%)
Total Risk BM (in bps)
332.8 (100%)
450.0464.043.5
340.1 (100%)
20111230
produced by: IDS GmbH
17/04/2012
Ludek Kolecek
++49 89 3800 15139
DE
ES
FR
IT
LU
NL
PL
YY
Other
Gov_Relat_Oth
Gov_Relat
AgencGov_Relat
Local_AuthGov_Relat
SovGov_Relat
Supra
Corp
ABSSec
Gov_Relat
IndCorp
UtilCorp
CMOSec
CashCash
CMBSSec
CoveredSec
Fin
0.0
0.3
0.8
0.6
1.2
0.9
0.6
0.0
0.2
0.4
0.6
0.8
1.0
1.2
1.4
<1Y 1-3Y 3-5Y 5-7Y 7-10Y 10-20Y >20Y
PFBM
99.5
0.50
20
40
60
80
100
EUR Other
PF
BM
0 0.5 1 1.5 2 2.5 3 3.5 4
Gov
Gov_Relat_Oth
Agenc
Local_Auth
Sov
Supra
Ind
Util
Fin
ABS
CMBS
Covered
CMO
Cash
PF
BM
230
264
298
332
366
400
20110331 20110531 20110729 20110930 20111130 20120131 20120330
TR
in
bp
s
0.00
1.40
2.80
4.20
5.60
7.00
Eff
Du
r
EFF DUR PF EFF DUR BM TR PF TR BM
90
126
162
198
234
270
20110331 20110531 20110729 20110930 20111130 20120131 20120330
TE
in
bp
s
0%
20%
40%
60%
80%
100%
Duration Term Sector Quality OtherSpread Currency SpecificRisk TE
© IDS GmbH – Analysis and Reporting Services
25
25
Risk Report – part 1
Portfolio Fund 1 Portfolio Database: SIMCORP:DIM
Benchmark Benchmark 1 Base currency: EUR
Portfolio Description Asset type Rating Allocation in %PF BM PF BM PF BM
MkVal MkVal Eff Dur Eff Dur MkVal MkVal% % Contr Contr % %
Portfolio 84 208 4.4 5.0 4.0 6.3 3.8 BBB+ 1.16 0.19 Bond 98.1 100.0 4.1 5.3 AAA 25.6 43.8Benchmark 3,026 5.3 5.4 4.0 7.0 2.7 A+ 0.08 0.06 Future 0.0 0.0 0.3 0.0 AA 12.8 16.4
Option 0.0 0.0 0.0 0.0 A 43.6 30.6FX 0.1 0.0 0.0 0.0 BBB 12.4 7.7Cash 1.9 0.0 0.0 0.0 High Y 4.5 1.4
n.r. 1.2 0.1
Contribution to Effective Duration Hedged Currency weights (%)
Risk Report 30/03/2012
MarketValue
Default prob(%)
SprDur
EffDur
Yield toMat
AvgLife
AvgCpon
% n.r.Rating
Avg
No. ofinvestm
ents
produced by: IDS GmbH
17/04/2012
Ludek Kolecek
++49 89 3800 15139
0.0
0.3
0.8
0.6
1.2
0.9
0.6
0.0
0.2
0.4
0.6
0.8
1.0
1.2
1.4
<1Y 1-3Y 3-5Y 5-7Y 7-10Y 10-20Y >20Y
PFBM
99.5
0.50
20
40
60
80
100
EUR Other
PF
BM
© IDS GmbH – Analysis and Reporting Services
26
26
Risk Report – part 2
Sector risk (government by country) Effective Duration contribution by sector
%Edur Contr
Sdur Contr
%Edur Contr
Sdur Contr
PF(24) 27.5 1.6 1.6 PF(1) 1.1 0.1 0.1BM 56.4 3.5 3.5 BM 2.9 0.2 0.2PF(1) 0.6 0.0 0.0 PF(3) 4.2 0.3 0.3BM 0.0 0.0 0.0 BM 3.6 0.2 0.2PF(13) 7.7 0.3 0.3 PF(2) 2.4 0.2 0.2BM 8.0 0.4 0.4 BM 17.1 1.0 1.0PF(1) 1.3 0.1 0.1 PF(8) 9.7 0.4 0.4BM 3.0 0.1 0.1 BM 7.2 0.4 0.4PF(3) 2.1 0.2 0.2 PF(1) 0.2 0.0 0.0BM 1.0 0.0 0.0 BM 15.6 1.0 1.0PF(6) 4.1 0.6 0.6 PF(13) 14.5 0.8 0.8BM 3.0 0.2 0.2 BM 13.1 0.8 0.8PF(27) 8.0 0.3 0.3 PF(2) 1.3 0.0 0.0BM 6.7 0.3 0.3 BM 0.1 0.0 0.0PF 0.0 0.0 0.0 PF(2) 1.0 0.1 0.1BM 1.4 0.1 0.1 BM 4.6 0.3 0.3PF(39) 16.5 0.4 0.6 PF(1) 1.3 0.1 0.1BM 8.1 0.3 0.4 BM 0.3 0.0 0.0PF(38) 8.6 0.0 0.3 PF(6) 4.1 0.6 0.6BM 0.1 0.0 0.0 BM 3.0 0.2 0.2PF(11) 2.4 0.0 0.0 PF(9) 3.6 0.0 0.2BM 0.0 0.0 0.0 BM 3.9 0.0 0.2PF(26) 18.3 0.6 0.7BM 12.2 0.5 0.5PF(9) 1.1 0.0 0.1BM 0.0 0.0 0.0PF(10) 1.8 0.3 0.3BM 0.0 0.0 0.0
Gov
BE
Gov AT
DE
ES
FR
IT
LU
NL
PL
YY
Other
Gov_Relat_Oth
Gov_Relat
AgencGov_Relat
Local_AuthGov_Relat
SovGov_Relat
Supra
Corp
ABSSec
Gov_Relat
IndCorp
UtilCorp
CMOSec
CashCash
CMBSSec
CoveredSec
Fin
0 0.5 1 1.5 2 2.5 3 3.5 4
Gov
Gov_Relat_Oth
Agenc
Local_Auth
Sov
Supra
Ind
Util
Fin
ABS
CMBS
Covered
CMO
Cash
PF
BM
© IDS GmbH – Analysis and Reporting Services
27
27
Risk report – part 3
Risk (ex-ante) Wilshire Axiom Multi-Factor Model
Factor Risk
Duration Term Sector Quality Other spread Currency CovarianceSpecific Risk
TE Risk Decomposition in time Total Risk and Effective Duration in time
245
41.2 (15%) 60.0 (5%)
395.228.1 28.1 70.4
47.8
260
20111230
-558.9 -521.9
313.0
42.7 (2%) 60.8 (2%)
65.631.8 24.6
20120330
105.4 261.3 280.7 386.9 340.2
47.1
444.6
7.6 (0%)-125.2 -102.7
1 Day VaR (95%) in tsd 92 175
Ris
kD
eco
mp
osi
tio
n
13.1 9.0
89.8
0.088.9 268.1
-684.14.8 9.8 4.8 9.8
77.5 340.0380.7
332.9
19.7 18.3
449.2457.9 484.2
Total
90.3 11.4 359.4
Tracking Error (in bps) Total Risk PF (in bps)
97.1 (85%) 254.4 (95%) 277.4 (98%) 382.1 (98%)
2012033020120330 20111230
0.0-651.9
7.6 (0%)
Total Risk BM (in bps)
332.8 (100%)450.0464.043.5
340.1 (100%)
20111230
230
264
298
332
366
400
20110331 20110531 20110729 20110930 20111130 20120131 20120330
TR
in
bp
s
0.00
1.40
2.80
4.20
5.60
7.00
Eff
Du
r
EFF DUR PF EFF DUR BM TR PF TR BM
90
126
162
198
234
270
20110331 20110531 20110729 20110930 20111130 20120131 20120330
TE
in
bp
s
0%
20%
40%
60%
80%
100%
Duration Term Sector Quality OtherSpread Currency SpecificRisk TE
© IDS GmbH – Analysis and Reporting Services
28
28
Performance Attribution – part 1
Portfolio 2.66%Benchmark 1.96%
Active 0.71%
81 228 4.8 5.5 4.6 6.7 4.2 A-2,996 5.2 5.3 4.1 6.9 3.0 A+
? ?
-0.56 0.60 0.60 0.16 1.24 0.50 0.00 2.52 0.15 2.66-0.70 0.76 0.39 0.09 1.02 0.39 0.00 1.94 0.01 1.960.14 -0.16 0.21 0.06 0.22 0.11 0.00 0.57 0.13 0.71
produced by: IDS GmbH05/03/2012
Ludek Kolecek++49 89 3800 15139
Yield toMat
RatingAvg
MarketValue (mio)
No. ofinvestments
EffDur
SprDur
Performance Attribution 30/12/2011 - 31/01/2012 (linked on-change)
BenchmarkPortfolio
AvgCpon
Descriptive Summary31/01/2012
TotalModelReturn
Fund 1
AvgLife
Market Value Return
Benchmark 1
TermStructure
Sector Quality YieldOther
FactorsCurrency
PortfolioBenchmark
Active
TotalPerformance
(%)
Selection /Interaction /Hedge costs
EffectiveDuration
0.11
0.00
0.71
0.130.14
-0.16
0.21
0.06
0.22
0.57
-0.30
-0.20
-0.10
0.00
0.10
0.20
0.30
0.40
0.50
0.60
0.70
0.80
in %
© IDS GmbH – Analysis and Reporting Services
29
29
Performance Attribution – part 2Currency Active exp.* Return (%) Effect
Top 3 contributors
United Kingdom 0.00 0.70 0.00
Euro -0.85 0.00 0.00
Denmark 0.00 -0.03 0.00
Bottom 2 contributors
United States 0.85 -0.83 0.00
Australia 0.00 2.80 0.00
Sector Active exp.* Return (%) Effect
Top 5 contributors
Euro Mortgage 0.70 0.18 0.10
Euro Bank/Finance 0.15 0.60 0.09
Effective Duration Active exp.* Return (%) Effect United Kingdom Bank/Finance 0.06 0.42 0.02
Top 3 contributors Euro Supranational 0.24 0.09 0.01
Euro -0.08 -0.13 0.14 United States Finance 0.02 0.48 0.01
United Kingdom 0.07 0.03 0.00 Bottom 4 contributors
Denmark 0.00 -0.38 0.00 Euro Agency -0.20 0.09 -0.02
Bottom 2 contributors Australia Agency 0.09 -0.17 -0.01
Australia 0.09 -0.02 0.00 Euro Corporate/Industrial -0.11 0.04 -0.01
United States 0.04 -0.04 0.00 United Kingdom Corporate/Industrial 0.02 -0.06 0.00
Term Structure Active exp.* Return (%) Effect Quality Active exp.* Return (%) Effect
Top 4 contributors Top 3 contributors
D3 Australia 0.08 0.17 0.01 United Kingdom Baa 0.08 0.30 0.02
D3 United States 0.04 0.21 0.01 Euro Baa 0.03 0.37 0.02
D3 Denmark 0.00 0.23 0.00 United States A 0.08 0.19 0.01
D2 Denmark 0.00 0.07 0.00 Bottom 1 contributor
Euro A -0.21 0.02 0.00
Bottom 5 contributors
D3 Euro 0.61 0.22 -0.11
D2 Euro -0.44 -0.05 -0.05
D2 Australia 0.06 -0.29 -0.02 Other Factors Active exp.* Return (%) Effect
D3 United Kingdom 0.07 -0.05 0.00 Top 5 contributors
D2 United States 0.01 -0.10 0.00 Euro Country: Belgium -0.22 0.34 0.12
Euro Country: Spain -0.37 0.38 0.05
Yield PF BM Active Euro Country: Portugal -0.01 -4.23 0.03
Top 3 contributors Euro Country: Austria -0.19 -0.06 0.02
United Kingdom 0.06 0.00 0.06 Euro Country: Italy -0.61 0.83 0.02
Euro 0.42 0.39 0.03 Bottom 3 contributors
United States 0.01 0.00 0.01 Euro Country: France -1.18 0.02 -0.02
No negative contributors Euro Country: Netherlands -0.11 0.03 -0.01
Euro Country: Finland -0.06 0.05 0.00
* as of beginning of reporting period
Attribution detail
Government yield curves changes
-0.30
-0.25
-0.20
-0.15
-0.10
-0.05
0.00
0.05
0.10
0.15
0.20
0.25
0 5 10 15 20 25 30
years
yie
lds
EUR 12/11 - 01/12 AUD 12/11 - 01/12 USD 12/11 - 01/12
source: IDS
© IDS GmbH – Analysis and Reporting Services
30
30
Für weitere Informationen wenden Sie sich bitte an:
Dr. Luděk Koleček
IDS GmbH – Analysis and Reporting Services
Königinstraße 2880802 München www.InvestmentDataServices.com
+49 89 3800 15139Ludek.kolecek@InvestmentDataServices.com
top related