Column portfolio

Chapter 4 is about the comparison and choice of modern HPLC columns Stefan Lamotte, Stavros Kromidas, and Frank Steiner give an overview of different columns and come forward with proposals for pragmatic tests for columns as well as column portfolios, depending on the separation problem. 

Meanwhile, Metrohm has added another 5 pm polyvinyl alcohol resin to its column portfolio, the Metrosep A Supp 7. According to the manufacturer, this... 

What should be in my personal column tool kit ( column portfolio ) ... 

The comment sheet had spaces for three comment-only features6, and three blank spaces for writing comments on scored features. Readers used the comment-only features areas to comment on issues they noticed but were not taking into account while scoring portfolios. Readers used the three blank spaces to comment on scored features. For example, a reader wanting to make notes about a writer s use of documentation and citation (DC) would write DC in the left-hand column and the comment in the right-hand column. 

The third and final step is to calculate the percentage change in the bond s portfolio value when each key rate and neighboring spot rates are changed. There will be as many key rate durations as there are preselected key rates. Let s illustrate this process by calculating the key rate duration for a coupon bond. Our hypothetical 6% coupon bond has a maturity value of 100 and matures in five years. The bond delivers coupon payments semiannually. Valuation is accomplished by discounting each cash flow using the appropriate spot rate. The bond s current value is 107.32 and the process is illustrated in Exhibit 4.27. The initial hypothetical (and short) spot curve is contained in column (3). The present values of each of the bond s cash flows is presented in the last column. 

Exhibit 27.4 shows the average portfolio weights (in percent) for different investment horizons and risk attitudes, divided into the rating segments AA, A, BBB, and T (columns 2 to 5) or the term structure 1-3 year, 3-7 year, 7-10 year, and 10Y+ (columns 6 to 9). The sum of the weights in columns 2 to 5 is 100%, as well as the sum of columns 6 to 9. Rows 3 and 4 contain the optimal weights for the 3-year horizon, rows 6 and 7 those of the five year, and rows 9 and 10 those of the 10-year horizon. 

Surprisingly, the share of Treasury bonds increases with lower risk aversion (column 5). Conversely, corporates make up a higher portion of the portfolio the greater risk aversion is. This is due to the inferior risk/return characteristics of government bonds relative to corporates (Exhibit 27.1). For a 5-year horizon, for example, the risk averse portfolios consist of 71% BBB corporates, whereas this share declines to 64% for the aggressive investor (rows 6 and 7, column 4). 

Focusing on the term structure of the optimal portfolios, the portion of longer maturities increases when risk aversion is reduced. The aggressive investor with a 10-year horizon, for example, invests the whole capital in 10-year+ maturities, the averse one only 78% (rows 9 and 10, column 9). According to investment horizon, the 3-year risk averse portfolios consist of 52% short-term maturities in the 1-3-year area (row 3, column 6). The aggressive style, on the other hand, allocates only 26% to this maturity bucket (row 4, column 6). 

The maximum CR of the aggressive investor with a 3-year horizon, for example, is 21.8% (row 3, column 4). A value of 19.4% in row 6, column 4 (quantile 95% for the aggressive investor) means that only 5% of the optimized portfolios realized a value higher than 19.4% in the 239 rolling calculations of the 3-year horizon. For the 10-year horizon and a risk averse attitude, the minimum CR was 7.2% per annum (row 4, column 7). The average CR for this investment horizon for the risk averse investor was 11.5% (row 9, column 7). 

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