Fixed Income and Treasury - Articles & White Papers

Investors have a bond problem. Every crisis brings new lows in government bond yields and predictions of the end of bonds as an asset class. Investors are now questioning the logic of hedging expensive equities with expensive bonds, but is there really a viable alternative?

The past decade has seen the use of multi-factor investing in corporate bonds increase significantly. Easier access to corporate bond data along and a growing body of research has enabled managers to develop robust factor-based strategies. As growing numbers of institutional and wholesale investors implementing factor-based…

The authors compare the current value of bonds versus stocks within the context of the equity risk premium. They couple this analysis with an evaluation of possible Fed policy direction. Their conclusion is that risk assets, such as US equities and corporate bonds, are poised to benefit as are gold and other commodities due…

A custom, multi-manager solution may provide some compelling benefits and enable DC plan sponsors to take their fixed income offering to the next level for plan participants.

The long credit universe continues to evolve with a flow of new issuance as well as developments within corporate liability management. MIM's deeper dive into the Long Credit Index highlights how it has transformed through the years and potential opportunities this evolution may present.

The COVID-19 pandemic has highlighted the importance and fragility of the natural balance. As governments, companies and investors aim for a just transition, sustainable bonds are being issued at pace in different formats. Is it a fad, and do markets really need so many varieties?

The objective of this paper is to illustrate the factor investing space in corporate bonds before and during the COVID-19 crisis and is the natural extension of M&G's prior analysis on both the new alternative credit factors and the ESG integration in credit. They use monthly credit excess return in the EUR denominated…

Why do we invest in stocks? Many of us do so because stocks offer higher expected returns than cash and Treasury bills. This difference in expected returns between stocks and Treasury bills is called the equity premium. When investors evaluate an equity strategy, they often look at the cash holdings of the strategy.

This paper develops a framework for evaluating the impact of currency hedging on expected returns and volatility and tests the implications for global equity and fixed income portfolios using data on 12 developed markets from 1985 to 2019.

This paper studies the differential credit risks embedded in the cross-section of credit spreads. Using corporate bond data from 1999 to 2018, Dimensional find that credit spreads relative to those of peers – defined as bonds with the same stated credit rating – contain reliable information about future bond performance and…

Borrowing fees set in the securities lending market contain reliable information about the cross-section of short-term expected stock returns. Using securities lending data for 14 developed and emerging markets from 2011 to 2018, Dimensional find that stocks with high borrowing fees end to underperform their peers over the…

UBS AM outlines the attractiveness of convertible bonds, how they act as arguably, a distinct asset class in their own right, and how structural reasons exist for their favourable performance.

As focus on the Paris Agreement’s temperature goals increases, countries around the world are acknowledging the need to adapt their spending patterns and to take up the environmental challenge. One of the most obvious financing vehicles is the green bond, with its clear use-of-proceeds structure. Governments’ shifting…

It’s been one year now since the Covid-19 pandemic disrupted the world. It changed our lives, but financial markets seem to have side-lined this dramatic event as a temporary pullback, which was quickly recovered and forgotten as most risk assets achieved new highs. Hopes persist that a “here and now” vaccine will rescue the…

Assessing and managing a credit portfolio’s concentration risk is an important component of a sound risk management process. Understanding the impacts of new concentration risks as they vary across industries and geographies, is vital, especially during crisis periods. By taking into account stand-alone credit risk and…

Of all the unforgettable and unprecedented moments the past year has delivered, what transpired in the developed bond markets probably didn’t make anyone’s list — but it was, in many respects, a year worth remembering. In March, as the scope and severity of the COVID-19 pandemic was coming into focus, central banks around…

Given the increasing importance of China in the global bond markets, particularly in light of significant reforms and initiatives to attract foreign investors, as well as the inclusion of China in major global bond indices, ICMA recognised that there was a need to focus more closely on the trends, opportunities, and…

When Jeremy Siegel published his "Stocks for the Long Run" thesis, little information was available on stocks before 1871 or bonds before 1926. But today, digital archives have made it possible to compute real total return on stock and bond indexes back to 1793. This paper presents that new market history and compares it to…

In April, risky assets continued their strong performance. Equities, real estate and cyclical commodities posted positive returns. Credit spreads tightened. German and U.S. government bonds converged as Bund yields rose while Treasury yields declined following a steep rise.

From Eaton Vance, a monthly insight on market developments and opportunities. This is the latest in a regular series of monthly reports.