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The Handbook of Fixed Income Securities, Eighth Edition, 8th Edition by Steven V. Mann, Frank J. Fabozzi

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CHAPTERFIFTYQUANTITATIVE MANAGEMENT OF BENCHMARKED PORTFOLIOS

LEV DYNKIN, PH.D.

Managing DirectorBarclays Capital

JAY HYMAN, PH.D.

Managing DirectorBarclays Capital

VADIM KONSTANTINOVSKY, CFA

DirectorBarclays Capital

BRUCE D. PHELPS, PH.D., CFA

Managing DirectorBarclays Capital

Most fixed income portfolios are managed relative to a benchmark. Depending on the portfolio’s investment objective and style, the role of the benchmark varies. At one end of the spectrum are passive indexed portfolios that strive to match benchmark risk exposures, and returns, as closely as possible. At the other end are active portfolios with high risk tolerance that maximize outperformance by investing freely outside the benchmark that serves only as a nonbinding reference ...

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