Successful fixed income portfolio management depends on operating with some distinct comparative advantage. That advantage can arise from the cost and structure of an institution’s funding, its tax and accounting framework or its regulatory and political environment. Advantage also can arise from access to faster or better information, although those advantages often are hard to sustain. Sources of comparative advantage
change over time.
This course approaches fixed income portfolio management from the perspective of institutions trying to maximize comparative advantage. It leads students through the advantages held by banks, insurance companies, GSEs, money managers, hedge funds and broker/dealers. Through case studies and industry data, the course examines how those advantages shape the investment behavior of these institutions. Students will
follow the fixed income markets during the course and use broker/dealer offering to construct a series of portfolios appropriate to the different institutions.
Students will come to understand both how to build a fixed income portfolio appropriate to particular institutions and how the distinct behavior of different institutions can drive pricing, liquidity and other general aspects of the fixed income markets. For students interested in institutional portfolio management, fixed income sales and trading or a broad understanding of how market structure can drive asset value, this course offers a conceptual and practical review.
Steven Abrahams was a Columbia Business School faculty member from 2010 to 2016.