Fixed-Income Active Management: Credit Strategies

Free CFA Level III: Portfolio Management lesson in Credit Strategies. 21 min read, ~3,192 words.

Spread duration measures price sensitivity to a 1bp spread change; total return = carry + roll-down + spread change × (−spread duration) + default loss. OAS strips embedded option value out of nominal spread, enabling apples-to-apples comparison across callable, putable, and bullet bonds (a 215bp Z-spread callable can be 180bp...