Key Insights
- Given the highly uncertain investment environment, we believe that interest rate risk will continue to be a source of investment volatility that needs to be actively managed.
- Empirical duration can be a better practical measure of interest rate risk, in our view, as analytical duration tends to oversimplify price sensitivity and ignores real‑life variables.
- Active interest rate management should go beyond managing duration as risks and alpha opportunities can also be found in country selection, convexity, curve positioning, and security selection.
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