Investment manager James Franey confronts an apparent arbitrage opportunity during the global financial crisis of 2008 when he notices a wide yield spread between two U.S. Treasury bonds that mature on the same date. Franey must decide if there is an opportunity, how to structure a trade to...

Investment manager Albert Mills confronts an apparent arbitrage opportunity during the global financial crisis of 2008 when he notices an unusually low -- and briefly negative -- thirty-year U.S. dollar fixed-floating swap spread. Mills must decide if there is an opportunity, how to structure a...

The D case briefly recounts the action that investment manager Albert Mills takes in the matter of an unusually low U.S. dollar fixed-floating swap spread. He must decide what to do next.Learning Objective:This case may be used: to introduce fixed-floating interest rate swaps; to review or...

The B case briefly recounts the action that investment manager James Franey takes in the matter of two U.S. Treasury bonds with identical maturity dates but widely different yields. He must decide what to do next.Learning Objective:This case may be used: to review bond valuation and associated...

Asset allocation represents a fundamental strategic decision for every institutional investor. Though many asset allocation approaches have been recommended and implemented in various forms, each has its own strengths and weakness. A careful review of current asset allocation frameworks provided...