Fixed Income Portfolio:
Annaly Capital
Objective: Conduct an in-depth examination of various fixed-income asset classes.
Analysis Conducted:
Short and long-term performance of indices
Performance of an equal-weighted portfolio that consists of US Treasuries 2-y, US Treasuries 10-y, US Investment Grade, US High-Yield
Performance of the optimal portfolio that consists of US Treasuries 2-y, US Treasuries 10-y, US Investment Grade, US High-Yield, and US MBS FN 30yr based on historical average excess returns
Asset allocations for the optimal portfolios based on both historical average excess returns and the excess returns predicted by the Black-Litterman model
With minimum and maximum constraints for each class
Portfolio performance evaluation
Tracking error relative to the benchmark for the 4 portfolios.
Annaly Capital, a market leader in mortgage finance, seeks to optimize portfolios to meet clients' needs with attention to environmental trends. This in-depth examination found that MBS constraints may need to be adjusted due to the recent Federal interest rates increase.
