General Fixed income questions

Question 1

Why has duration of FI been on the up in passive indices

Answer 1

1.companies refinancing to lock in lower rates.

Question 2

Why is duration important?

Answer 2

The longer the duration, the more its price will drop when interest rates rise

Question 3

what % of citi bond index is made up of 5 countries?

Answer 3

76%

Question 4

what is the average debt to GDP of the citi world govt bond index ?

Answer 4

128%

Question 5

what is the debt to GDP ratio of bottom 18 countries in the citi bond index

Answer 5

60%

Question 6

what are some changes in the Bloomberg Barclays us aggregate bond index ?

Answer 6

1. declining yields

2. weigting to treasuries (monetary policy)

Question 7

what do treasuries make up a 1/3 of ?

Answer 7

US Ago bond index?

Question 8

what were the yields of the us agg index in may 2000 vs march 2018

Answer 8

7.52% vs 3.12%

Question 9

why do central banks own bonds?

Answer 9

1. stabilise fx markers

2. adjust money supply

Question 10

what % have US Fixed income managers beaten the US Ago (as per 2018) ?

Answer 10

80%