Chapter 27: Fixed Income Portfolio Construction

In this section

• Benchmark Selection and Tracking Error
  Explore how to choose an appropriate fixed income benchmark and manage tracking error to align portfolio returns with investment objectives while navigating credit risk, duration positioning, and sector exposure complexities.
• Active vs. Passive Bond Strategies
  Explore the key differences between passive index-tracking bond management and active alpha-seeking strategies, along with the core-satellite approach, factor-based methods, and real-world examples for fixed income portfolios.
• Sector Rotation and Security Selection
  A deep dive into actively rotating among fixed income market sectors and selecting individual securities for optimal risk-return, leveraging economic forecasts and credit research.
• Vignette: Portfolio Construction under Constraints
  Explore a real-world fixed income portfolio scenario with regulatory and ESG constraints, liability-driven investing considerations, and benchmark requirements. Learn how to propose allocations, manage duration, and justify sector deviations in an exam-style vignette.