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

Fortinbras is proud to be an equal opportunity workplace.  We are registered in the Austrian companies registry (Firmenbuch) under the number FN 281026z with managing director (handelsrechtlich) being Christopher John Kennedy.  Our VAT ID is ATU72796218.

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Fortinbras Asset Management GmbH is a tied-agent according to § 2 Abs. 10 KWG of the German Banking Act and falls under the regulation and authorization of BaFin, the Federal Financial Supervisory Authority in Germany. License number 80177742 in BaFin’s public register. Responsible investment firm is MEX Asset Management GmbH; managing director is Christopher Kennedy.



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