Project Overview:

As a fixed income portfolio manager, you are assigned by the firm$$s Chief Investment Officer $($CIO$)$ to construct a core$-$satellite fixed income portfolio based on current market conditions with the expectation that the designed portfolio will be used to launch a new exchange traded fund $($ETF$).$

Objective:

Construct a core$/$satellite fixed income portfolio based on current market conditions.

Components:

$$ Provide a Fixed Income Sector Analysis for the investable sectors of your portfolio $($both core and satellite$).$

o U$.$S$.$ Agencies

o U$.$S$.$ Treasuries

o Corporates

o Munis

o Global Bonds

o Mortgages, Pass$-$Through Securities and Other Asset Backed Securities

o Convertible Bonds

$$ Establish the current weighting of the satellite component

$$ Select the index used for the core fixed income component.

$$ Identify the satellite parameters for: duration, convexity, weighting, etc.

$$ Establish the portfolio benchmarks for both the core and satellite components.

$$ Establish a performance$-$based compensation model for the portfolio manager $($you$)$ for approval by CIO and Investment Committee.

$$ Write an executive summary for the CIO and Investment Committee discussing the risk$/$reward potential of this core$/$satellite fund to fund investors.

Notes:

Pick a sector and invest only in that sector. A muni portfolio manager has no business buying treasuries, agencies, etc.

A short$-$term manager won't buy intermediate term or long$-$term debt.

The core and the satellite portfolios are in the same sector.

I don't want an analysis of every sector of the market, just the sector you picked, although a little commentary on the TSY curve could help.

Fixed and floating aren't separate sectors$.$

Don't mix high yield with investment grade stuff.