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Higher expected returns can be achieved by investing in securities that are judged to be fundamentally underpriced relative to alternative investments of comparable credit quality. Cheapness in and of itself does not, however, guarantee high returns in all interest rate environments; it merely suggests that the weighted average return over all rate scenarios will be high. With market neutral investing, purchased securities are hedged to immunize them against interest rate changes. The securities and hedges thus provide the same (expectedly high) return over all interest rate scenarios. Construction of a market neutral portfolio is accomplished security by security. Some CMOs perform well when rates fall, while others perform well when rates rise. Put simply, if the positive performance of a bullish security in a falling rate environment outweighs its negative performance in a rising rate environment, or if the positive performance of a bearish security in a rising rate environment outweighs its negative performance in a falling rate environment (while each security maintains positive performance in an unchanging rate environment), then each security is fundamentally cheap and will have a high expected return. Also, if the positive performance of a security in a volatile interest rate environ- birt pdf 417 Eclipse BIRT PDF417 Barcode Maker add-in makes PDF417 ...
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