HALISTER1: RATES: Portfolio Managers ‘Mixed’ on Risk Profiles, SMR Says

RATES: Portfolio Managers ‘Mixed’ on Risk Profiles, SMR Says

(Bloomberg) -- Participants in SMRA Portfolio Manager Survey in week ended Feb. 23 showed “some increased willingness to take on risk,” though duration measures adjusted for portfolio size were “down marginally.”
  • Actual/Target Duration (arithmetic): 99.1%
  • Actual/Target Duration (weighted): 99.4%
  • Bull/Bear Index (arithmetic): 5.1, first time above 5 since Jan. 2015
  • Bull/Bear Index (weighted): 4.6
  • Agency allocations: 7.7%, unchanged for 17th consecutive week matching lowest on record
  • MBS allocations: 23.5%
  • Treasury allocations: 24.6%, unchanged at lowest since April 2012
  • Corporate allocations: 35.5%,
  • Spread product allocations: 70.1%, matches highest since May 19
  • Spread expectations: 4.95
Alert: HALISTER1
Source: BFW (Bloomberg First Word)

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