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Ronnie36
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Joined: February 11th, 2015, 8:53 am

Portfolio Income

November 20th, 2016, 2:58 pm

Hi All
A basic question for most of you Im sure. I look after a Bond portfolio (mainly Government Bonds and a few Corporates), some FX contracts for hedging mainly also exist.  I have been asked by an investor to provide the Month by Month Income of the portfolio expressed as an annualised cash yield. Just wanted to confirm what that meant, thanks

Ronnie
 
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Alan
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Joined: December 19th, 2001, 4:01 am
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Re: Portfolio Income

November 20th, 2016, 7:17 pm

 You might adapt the SEC yield method. It provides one, of a number of methods, to account for the possibility of intra-month cash flows from the investor(s). You could, for example, treat c x d there as the average market value of the portfolio during the month. I'd write up a proposed method, run it by your investor for an OK, and then implement it. All methods have some ad hoc elements; IMO, the main thing is to clearly document any method -- whatever you do. 
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