Fixed Income Quantitative Analysis


GENESIS: Comprehensive Fixed-Income Analysis & Portfolio Management Suite

GENESIS is the GFA analytical platform that supports the quantitative analysis central to our activities. There are 5 major modules which can be accessed separately or in a unified system. All of the GFA consulting services draw upon this same environment. A distinguishing feature of GENESIS is its broad coverage which includes traditional fixed income, municipal bonds, and a wide range of derivative products. An integrated database supports all of the modules including extensive input data for the various analyses.

BONDPAR 2: Bond Performance Attribution Report

BondPar2 is a fixed income performance attribution module which decomposes total portfolio return into components to provide a more precise characterization of portfolio behavior. The various sources of return include the market environment, duration management, sector, individual bond selection and trading activity. Globally diversified portfolios can also be evaluated along with the effects of currency and hedging exposures. Municipal bond portfolios can also be accommodated.

The value of BondPar2 lies in the detailed performance attribution it provides to the user. Understanding the components of the total return of a portfolio as well as those of the securities in the portfolio can help monitor the effectiveness of the management process and identify strengths and weaknesses. BondPar2 breaks down the components of return into those elements beyond the portfolio manager's control. These elements include the interest rate environment, duration policy constraints and those that the management process contributes to (such as interest rate management, sector/quality allocations, individual bond selections and trading activities).