The top 12 Fixed Income white papers
Savvy Investor is the world's leading knowledge network for institutional investors, with over 13,000 members and a research library containing 12,000 white papers, including sections relating to fixed income portfolio management and the fixed income outlook.
The Savvy Research team has curated this list of the most popular fixed income white papers from the last few months. Topics covered include the global fixed income outlook, investment theory, factor strategies, the credit cycle, bond market trading, emerging market debt, the use of fixed income in pensions portfolios and a provocative paper entitled "the death of the risk-free rate".
Global Fixed Income Outlook (Goldman Sachs, August 2016)
This quarterly assessment of global fixed income markets examines the impact of US employment, Brexit, China and the prospect of so-called "helicopter money".
Death of the Risk-Free Rate (Research Affiliates, July 2016)
The concept of the risk-free rate underpins much of investment theory and practice. Chris Brightman argues that the absence of a risk-free rate should impact the way in which we view not just monetary policy, but also investment risk and portfolio allocations.
On the road to recovery - Emerging market debt strategy (JP Morgan, August 2016)
2016 has been a good year so far for EM debt, with returns up to the low double digits. JP Morgan professionals examine the way in which global factors and country-specific developments will impact markets in the months ahead.
Implementing Factor Strategies in Corporate Bonds (Robeco, 2016)
Quant researchers from Robeco show that factor investing strategies work well in corporate bonds. However, when building an actual portfolio, care must be taken to manage liquidity issues. This paper describes how it can be done.
Understanding the Credit Cycle (Loomis Sayles, May 2016)
The authors break the credit cycle down into four phases - downturn, credit repair, recovery and expansion to late cycle - informed by their measures of risk appetite and liquidity.
Debt, Growth and Investment Returns: The Inconvenient Truth (MFS, July 2016)
High levels of government debt make it difficult for governments to loosen fiscally to stimulate growth. As a result, yields will remain low for years to come and investors are encouraged to rein back their expectations to avoid chasing yield - and consequently mis-pricing risk.
Endgame Portfolios and the Role of Credit (LGIM, Mar 2016)
This paper by Legal & General discusses pension scheme maturity and the endgame which involves either running the assets and liabilities off (self-sufficiency), or transferring them to a third party.
Time to Rethink Fixed Income: Options for DC Plan Menus (BlackRock, 2016)
For a long time now, bond market portfolios have provided DC participants with strong returns and safety. But how should plan sponsors respond to the prospect of rising rates in the future?
An Examination of Emerging Markets Sovereign Defaults (Lazard, May 2016)
The authors use historical data to examine whether the current global environment could indeed lead to sovereign defaults in the emerging markets asset class.
Electronic trading in fixed income markets (BIS, 2016)
This survey examines the role of electronic trading across the fixed income market landscape; seeking to understand how current developments affect market structure and functioning.
Consequences of Solvency II for European Insurers managing bond portfolios
New prudential regulations for European insurance companies entered into force on 1 January 2016. This paper examines the impact this will have on asset allocation and the management of bond portfolios.
High-Yield and Bank Loan Outlook: Focus on Recovery Rates (Guggenheim, July 2016)
Bank loans and high-yield bonds still turned in impressive quarterly returns despite the post-Brexit selloff. Recovery rates bear watching, as we move into this new phase.