by admin | Sep 8, 2012 | bond prices, Campisi model, CIPM, CIPM Exam Tips & Tricks, CIPM expert, fixed income attribution, performance attribution, performance measurement, risk-free yield curve
The CIPM curriculum does not give much of an explanation of bond pricing in relation to interest rates, so here is a brief primer.Price change on bonds can be explained by how interest rates change during the period.Bonds are a lending agreement: the purchaser...
by admin | Sep 1, 2012 | cash flow timing, cash flows, CIPM Exam Tips & Tricks, CIPM expert, CIPM Principles, performance measurement, rate of return calculations
A Principles Level candidate emailed me the following problem, and asked me about how to interpret the timing of the cash flows: In this case, given that they tell you that the fair valuations are inclusive of the flows, my interpretation would be that the timing of...
by admin | Aug 31, 2012 | Campisi model, CIPM, CIPM Exam Tips & Tricks, CIPM expert, fixed income attribution, income contribution
Recall from my previous posting, the steps to executing the Campisi fixed income attribution model are:Decompose the benchmark return into:- income contribution- Treasury contribution (i.e., price change due to changes in Treasury rates)- spread contribution (i.e.,...
by admin | Aug 24, 2012 | bond mathematics, Campisi model, CIPM, CIPM Exam Tips & Tricks, CIPM expert, fixed income attribution, performance attribution, performance measurement
For many CIPM Expert Level candidates, fixed income attribution is the most difficult topic. This is evident when I teach TSG’s CIPM prep classes, as we devote an entire afternoon to the subject. Among the three models that candidates are required to...
by admin | Aug 23, 2012 | attribution analysis, CIPM, CIPM Exam Tips & Tricks, CIPM expert, futures contracts, performance measurement
At the Expert Level of the CIPM curriculum, candidates are required to deal with return calculations of portfolios with futures contracts, as well as attribution analysis. A good number of candidates, however, have little to no background on futures contracts,...
by admin | Aug 20, 2012 | CFA exams, CIPM, CIPM expert, CIPM Principles, composite dispersion, external dispersion, internal dispersion, Standard Deviation, statistics, TI BA II Plus, tracking error
Last week I taught our CIPM prep classes for the Principles and Expert Levels, and the commonly asked question about the fastest way to do standard deviation came up.I will take this opportunity to refer to an old blog post (found here) that covered how to this using...
