TFM: Three Factors Model
Changes in the level, slope and curvature of the term structure account for the vast majority of bond portfolio returns. Studies show that up to 99% of (non-credit) fixed income performance is derived by movements in the absolute level of rates, the steepness of the term structure and the convexity or concavity of the curve. A strategy that encompasses all three of these factors offers more efficient portfolio immunization than single point during hedging.
Interest rate swaps in three maturities ( 1 year, 2 year and 5 year ) and four currencies ( USD, EUR, GBP and CHF ) on payer / receiver basis.
2008 – 2017
Index-linked delta-one certificates, UCITIS fund, excess return swaps, options cliquets
Credit Suisse AG, London
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