10 compelling fixed income research papers
Our latest fixed income round-up captures the best recent papers on debt and credit markets. RLAM have just issued a very interesting paper which explores the benefits of securitised bonds; it suggests that the pricing of this asset class is still over-reliant on rating agencies, creating opportunities for asset managers who are prepared to get under the bonnet of the documentation.
PineBridge has also issued an interesting research note, which argues that the Fed’s forecast for 2017 may come to resemble that of 2004. It examines the similarities and differences this time around, and explores what this means for fixed income investors.
Finding Security in Bond Markets (RLAM, Feb 2017)
This paper by RLAM explains how secured bonds reduce credit risk, why it is possible to buy the right kind of security affordably, and how fixed income investors can take advantage of an institutional reliance upon credit agencies.
Lessons From 2004: Don’t Shy Away From Fixed Income (PineBridge, 2017)
The Federal Reserve’s rate forecast for 2017 may come to resemble that of 2004, which may be good news for investors in U.S. dollar credit.
Alternative Thinking: Style Investing in Fixed Income (AQR, 2016)
This paper by AQR Capital Management demonstrates that the traditional style premia that have been applied to equity country allocation and stock selection could have performed just as well in fixed income markets.
Time to Rethink Fixed Income: Options for DC Plan Menus (BlackRock, 2016)
For a while now, bonds pegged to the Barclays Aggregate Index have provided DC participants with strong returns and safety. Falling interest rates, the key driver of those strong returns, are now likely to end. What are plan sponsors to do?
Fixed Income Asset Allocation Insights: High Yield Prices May Be Poised For A Boost (PineBridge, Feb 2017)
Economic data, an upturn in year-over-year earnings comparisons, and fund flows are likely to continue to support high yield bond prices.
Fixed Income Strategy: Emerging market pause (BlackRock, Feb 2017)
Rich valuations and U.S. policy risks call for a neutral stance on emerging market debt in the short run. The authors of this monthly paper also detail why they believe mortgage-backed securities deserve a fresh look.
Fixed Income Absolute Return (Fulcrum Asset Management, Feb 2017)
The fixed income asset class has produced spectacular returns for a while now. However, current low yields imply this won't go on forever. This paper examines the case for Absolute Return strategies as an alternative.
Fixed Income Investments in a Carbon-Conscious World (Lazard, Aug 2016)
This paper by Lazard Asset Management examines the rise of green bonds for fixed income investors. It provides a helpful introduction to green bonds, the principles underpinning them, and an outline of the market and issuance.
Unconstrained Bond Strategies. Is Now the Time? (Janus Capital, 2016)
Historically low yields, tight credit spreads, and an anaemic near-term GDP growth mean investors must reassess their overall fixed income investment strategy to reflect the changing nature of risk in traditional fixed income portfolios.
1st Quarter Outlook: PGIM Fixed Income, Jan 2017
This paper by PGIM explores the outlook for fixed income for the 1st quarter of 2017. While politics in the U.S. continue to dominate, too narrow a focus could discount ongoing challenges - and opportunities - elsewhere.