Fixed Income and Treasury - Articles & White Papers
White papers and reports on fixed income portfolio management and treasury management, examining issues related to the management of bond portfolios (from cash management through to longer-dated fixed income portfolio management). The most common fixed income research in this section covers specific elements of fixed income investing such as managing... cash investment portfolios, unconstrained fixed income investing, absolute return fixed income investing or fixed income overlay strategies. Other interesting topics within this section include fixed income attribution, responsible investment for fixed income investors, and factor models / smart beta approaches to fixed income portfolio management. Other popular articles and papers assess the valuation of fixed income securities, the expected returns from bonds, and the valuation of UK index-linked gilts and TIPS. Other popular papers cover bond ETFs, integrating ESG into fixed income, and issues surrounding negative yields. Unsurprisingly, a salary survey which details the salaries of fixed income fund managers has also proved popular.
As a part of its 9th annual US ETF Study, Greenwich Associates interviewed 181 institutional investors on the utility of ETFs for portfolio construction purposes, finding that ETFs are now considered as a primary means of obtaining fixed income exposures within institutional portfolios. Liquidity, ease of use, speed of…
The authors provide an overview of factor investing in fixed income markets, then describe a particular portfolio construction methodology that may have the potential to minimize some of the pitfalls of factor integration while preserving the benefits of factor utilisation.
We believe that a better approach for investors seeking traditional EM exposure is through actively managed strategies that focus on country-level macroeconomic and political research and standalone analysis of specific risk factors such as currency, credit spreads and interest rates.
The latest version of Invesco's Risk & Reward publication covers a whole host of themes including active bond returns, insights on active (ESG) engagement, pension reform in China, low volatility anchoring, equal weighting in sector portfolios, and more.
The latest version of Invesco's Risk & Reward publication covers a whole host of themes including active bond returns, insights on active (ESG) engagement, pension reform in China, low volatility anchoring, equal weighting in sector portfolios, and more.
What is a bond worth? It is such a basic question that you wouldn’t think investors would change their minds so dramatically over the span of just a few months, in the absence of any significant change in underlying creditmarket fundamentals or interest rates. But that is exactly what happened in the fourth quarter of 2018…
Because of the asymmetric nature of fixed income, ESG analysis in this asset class is a question of risk before being a question of opportunity. We believe that companies and governments that do not strive today to converge toward ESG best practices face a number of looming dangers. They can be affected at multiple levels,…
Each year, we perform a comprehensive review of defined benefit (DB) pension plans of every company in the S&P 500 and provide initial impressions on the issues and factors impacting corporate DB plan sponsors. In this year’s Pension Review “First Take:” Groundhog Day, we outline key findings from our analysis and…
This paper provides long-term estimates for the behaviour of major asset classes globally. The assumptions, which are based on a 10-year investment time horizon, are intended to guide strategic asset allocations. For each selected asset class, the authors develop assumptions for estimated return, standard deviation of return…
This global, quarterly report leverages analysis from State Street Global Markets showing bond flows and holdings indicators from Q4 2018, taken from a data set that represents $10 trillion of assets. This data shows that institutional investors, far from rushing to safety in the midst of the turbulent end to 2018, are…
This global, quarterly report leverages analysis from State Street Global Markets showing bond flows and holdings indicators from Q4 2018, taken from a data set that represents $10 trillion of assets. This data shows that institutional investors, far from rushing to safety in the midst of the turbulent end to 2018, are…
Vanguard research shows that liability-hedging strategies should focus on the portions of the liability that contribute the most to risk rather than hedging all components equally. Our analysis shows that hedging long-dated liabilities is expected to mitigate surplus risk to the greatest extent possible. Strategies should…
As the intensifying yearn for yield by investors increasingly bumps up against “the uncomfortable truth” of declining interest rates amidst soaring fiscal deficits and bulging debt loads, KKR’s Global Macro, Balance Sheet, and Risk Analytics team has analyzed what yield-oriented investors, especially those with large swaths…
James Montier, of GMO, attempts to debunk recent characterizations of Modern Monetary Theory brought forth by Ken Rogoff, Paul Krugman, Larry Summers, and several others.
The transition from a reference rate regime centred on interbank offered rates (IBORs) to one based on a new set of overnight risk-free rates (RFRs) is an important paradigm shift for markets. This BIS report provides an overview of RFR benchmarks, and compares some of their key characteristics with those of existing…
The concept of factor investing and the debate around passive and active management has emerged since the end of the 2000s and has completely changed the landscape of equity investing. Today, institutional investors structure their strategic equity allocations essentially around risk factors. Size, value, low beta, momentum…
This report presents the results of the Financial Stability Board's eighth annual monitoring exercise. It covers data up to end-2017 from 29 jurisdictions, which together represent over 80% of global GDP. As in previous years, the report compares the size and trends of financial sectors in aggregate and across…
