Bond or fixed income investors talk a lot about yield curves, but what is a yield curve and how can it be used in portfolio management? Generally speaking, a yield curve is a graphical representation (as shown in graph 1) of the relationship between interest rates (or yields) and the maturity dates of debt securities, such as government bonds. It shows how much investors can expect to earn from bonds of varying durations, typically ranging from short-term (e.g., one month) to long-term (e.g., 30 years). The curve is usually plotted with time to maturity on the x-axis and yield on

Bond investors often talk about duration and maturity of bonds when evaluating a single bond or a bond portfolio. Generally speaking, duration and maturity are two key concepts in bond investing which refer to different aspects of a bond’s timeline and sensitivity to interest rate changes. With regard to this, it is worthwhile to look more closely at these two measures.   Duration The duration is a measure for the sensitivity of a bond (portfolio) to interest rate changes. It represents the weighted average time it takes for an investor to receive all the cash flows (interest payments and principal

Value investing is an investment strategy where the investor is buying securities which he thinks are worth more than their current price. This means the current price on the exchange is lower than the intrinsic or book value of the respective security. These evaluations are called fundamental analysis and are mostly derived from the current balance sheet and the respective quarterly updates. Some of the more prominent measures used by value investors to determine if a company’s stock is a value investment are: – price-to-book ratio – earnings-per-share – free cash flow – dividend yield Obviously, there are many other

Since the year-end is the typical point in time at which investors review the performance of their portfolios, we want to shed a light on the Lipper global bond, equity, and mixed-assets classifications with the best and worst average performance. In addition, this report also showcases the performance of the best- and worst-performing funds/ETFs for each asset type and the average performance of the most relevant Lipper global classifications from a euro investor point of view for each asset type.   Methodology In order to calculate the average performance of the funds and ETFs within the Lipper global classifications (LGCs)

Credit cycle investors have performed on par with the S&P 500 since the beginning of March, with an allocation to US banks followed by US Industrials, generating returns of just over 16%. This performance beat Nasdaq, which increased by just under 12%, global equities at 9% (the UK market also rose by 9%), and US government bonds across all maturities which returned just 2%. Despite this positive performance, many investors remain somewhat skeptical that the US can continue to outperform other international equity markets such as the UK due to the current level of valuations. Exhibit 1: Asset class returns

After iShares, the largest ETF promoter in Europe, returned to using synthetic replication with the launch of a swap-based ETF on the S&P 500, I published my views on this move in the Monday Morning Memo called “A New Dawn for Synthetic ETFs in Europe”. I believe this move might be a game changer regarding the usage of synthetic replication in the European ETF landscape. A brief review of the historic trends around the usage of replication methods in the European ETF industry shows that synthetic index replication was widely used in the European ETF industry up until 2011. This

As we start the New Year, Puerto Rico remains in focus for municipal investors. For Cofina bondholders, recent news has been mostly positive; the restructuring plan is on track to be finalized and the bankruptcy judge is expected to confirm the plan this week – marking a major milestone for the island. Meanwhile GO bondholders are seeing significant volatility. A joint legal motion was filed this week challenging the legality of certain GO bonds issued by the island. The motion was filed by the Financial Oversight and Management Board for the Commonwealth of Puerto Rico and the Official Committee of

Late Friday on October 19, the Financial Oversight and Management Board for Puerto Rico (the Board) filed a disclosure statement with the federal bankruptcy court. The filing, on behalf of COFINA, lays out the Board’s plan of adjusting the outstanding sales tax bonds. The 800+ page document provides additional details on the debt restructuring plan itself, including a list of all creditors that will be impacted. Under this plan, the security pledge and projected recoveries are expected to be unchanged from the original proposal. However, the structure was slightly modified with an increase in the allocation of capital appreciation bonds

Leveraged Loan Monthly – September 2018 The September 2018 edition of LPC’s Leveraged Loan Monthly is now available for download on LoanConnector & LC Reports. Contents: Leveraged Loan Market Overview US High Yield Bond Market Overview Investor Overview and Fund Flows CLO Market Analysis CLO League Tables List of Recent CLOs Primary Market: Leveraged loan activity declined in the third quarter, registering $177 billion of volume, a decline of 40% compared to 3Q17’s record pace of volume. YTD leveraged issuance is tracking at $930 billion, which is 12% lower relative to last year. The institutional share of leveraged issuance has

Thomson Reuters LPC Leveraged Loan Monthly – April 2018 Contents: Leveraged Loan Market Overview U.S. High Yield Bond Market Overview Investor Overview CLO Market Analysis List of recent CLOs / League Tables Loan Mutual Fund Flows & Returns Primary Market: Leveraged lending stands at $362 billion year-to-date, with institutional volume making up 69% of activity at $251 billion. Although issuance levels are down 30% from last year, the institutional share has stood firm at around 70%. Looking at leveraged lending by purpose, refinancing activity drove activity in the first quarter and continues to make up the bulk of volume early

Contents: Leveraged Loan Market Overview S. High Yield Bond Market Overview Investor Overview CLO Market Analysis List of recent CLOs / League Tables Loan Mutual Fund Flows & Returns Primary Market: After a year with record levels of issuance, leveraged lending recorded over $68 billion of volume in January, led by nearly $54 billion in leveraged institutional volume. January levels were down 27% when compared to the beginning of last year. Refinancing activity continued to drive leveraged lending with almost $39 billion in volume; leveraged new money made up 43% of January issuance. January institutional issuance was steady month-over-month with

Thomson Reuters LPC Leveraged Loan Monthly – Year-end 2017 Contents: Leveraged Loan Market Overview S. High Yield Bond Market Overview Investor Overview CLO Market Analysis List of recent CLOs / League Tables Loan Mutual Fund Flows & Returns Primary Market: Leveraged lending jumped 60% to $1.4 trillion in 2017 to set a new record. Volume was 24% higher than the previous high-point ($1.1 trillion) recorded in 2013. The jump in activity was driven by $919 billion of institutional loans, which made up two-thirds of leveraged loan volume during 2017. Volumes were driven by strong across the board investor demand for