Guides to gilts and to using GiltIQ, written against the site's own data and pages.
New to GiltIQ, or stuck on a page? Start with the comprehensive Help — one walkthrough of everything the site does, from the market pages to the trade ledger and the reports.
Realised P&L is the gain or loss already booked on positions sold or redeemed, unrealised P&L is the mark-to-market on what is still held, and the portfolio view keeps the two apart before adding them to a single total.
A portfolio's weighted duration is an average, and an average hides how the holdings are spread around it — two portfolios with the same weighted duration can respond very differently when the yield curve changes shape rather than shifting in parallel.
A portfolio's modified duration is the market-value-weighted average of its holdings' durations, and multiplying it by the portfolio's value gives the pound move a one per cent shift in yields would produce — a measure of interest-rate sensitivity, not a statement that the money is safe.
IRR since inception is the annual rate that makes the present value of every cash flow in and out of a portfolio — buys, coupons, sales and the current value — come to zero, so it measures the return on the money actually committed rather than on a unit of the portfolio.
A single number — one holding's share of a portfolio's market value — says how much of the portfolio's income, price sensitivity and eventual redemption depends on one gilt, and the portfolio view puts that share against every other holding.
Each gilt carries its own daily yield change, and across a portfolio those changes differ — the spread between them, multiplied by each holding's modified duration, is what actually moves a portfolio's value from one report to the next.
Between two dates a gilt's return is the sum of several things happening at once, and the attribution tab splits it into the four rows it names — carry, rolldown, variation and a residual it calls unexplained — so each part can be read on its own.
A portfolio can hold several gilts and still return most of its money in a single calendar year, and the cash-flow analysis makes that concentration visible by totalling each year's income and redemptions side by side.
Modified duration turns a change in a gilt's yield into an estimate of how far its price moves, and a one per cent move in yield scales roughly by the duration — so the figure says as much about a holding as it does about the gilt.
Implied RPI is the annual inflation an index-linked gilt's real and nominal yields together imply, derived from two fitted curves at the gilt's own term, and it is a market price rather than a forecast and not the same figure as a published inflation rate.
A conventional gilt's gross yield is a cash return and an index-linked gilt's real yield is a return after the inflation the gilt is priced for, so the two are only comparable once the inflation between them is put back explicitly.
The cash-flow analysis page takes the gilts in a portfolio, projects every remaining coupon and redemption, and groups the totals by UK tax year so the income and the capital that fall in each year can be read together.