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The Quantile Grid: Why, What and How

October 19, 2015
Derek Kessen and Girish Patel

A fundamental question facing Shape Managers seeking to improve their performance prospects is “What’s my benchmark?” The Quantile Grid attempts to provide that benchmark. It gives depository institutions a way to assess projected bond portfolio performance compared to projected results of other investors subject to similar constraints and general objectives. This article explores how the Quantile Grid is derived and maintained, what it represents (and what it does not), why we devised it in the first place, and how useful it is as a benchmark.

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