Bond Portfolio Management Book

I really enjoyed a lot of the Fixed Income stuff in the CFA curriculum and would like to break into the market on credit desk in some way shape or form but I know I need to sharpen up on these subjects as I’m coming from more of a global macro position where we forecast interest rates etc. we don’t really manage fixed income porfolios the traditional sense with a focus on duration, VAR, etc. instead trading occassionally to take advantage of interest rate moves that we predict by targeting only one or two maturities and only trade highly liquid securities.

I know there’s really no substitute for working on a desk, but any recommendations on a good book to work through to make myself competitive and fluent in the language for an interview. FWIW I have acess to a bloomberg terminal so I can work on modeling a bit after work with that as well.

Thanks for the help guys.

Fabozzi’s stuff is kind of the standard. Fixed income is more mathematical than things like equities or macro because the income is more defined and that allows for more control of variables.

I had a bond book that I liked but I don’t remember what it was. When I’m at my bookshelf I will look for it and let you know. It was more about individual bonds than portfolios but it talked more about strategies for thinking about the yield curve.

ultimately, bond portfolios break down into bullets, barbells, and ladders, though you can depart from these a bit if you spot something mispriced. If you are benchmarked against liabilities, your liability structure is it’s own portfolio which you will probably neutralize and then any departure from it can be modeled as layering a bullet, barbell, or ladder on top of it

Agreed. Fabozzi is generally considered the ultimate authority on all things fixed-incom related. Just put “Frank Fabozzi” in an Amazon search and see what you find.


Choudhry > Faboozi (from an enjoyment/practical perspective

I like Choudhry too, though his books tend to be extra expensive. Thanks for the PDF.

Here’s the book that I really liked for helping me understand fixed income strategy:

“The Complete Practitioner’s Guide to the Bond Market” by Steven Dym. It’s available as a kindle book.

Awesome Randy. Will load it on the Nook tonight.

I used a Fabozzi “Handbook” years ago: it was about 1,500 pages and prolly weighed a couple of pounds.

How much have things changed since 2009/10? Is it worth getting a newer edition of these books or are the basics still the basics and its only worth getting newer stuff for highly specialized applications.

Stuff on derivatives may be updated and there may be new perspectives on central bank policies, there may be more attention put on floating rates stuff for the expected environment ahead, plus some observations on Basel III standards for banks, but I don’t think a whole lot has changed about the basics. If you are just starting, you can get the basics from 2009 pubs and pick up the rest from articles.

Interest Rate Markets: