Fixed Income and Treasury - Articles & White Papers

Many factors can explain return attribution differences in credit portfolio returns – curve, interest rate positioning, sector allocation, and security selection. Solid bottom-up fundamental credit research is certainly a cornerstone of any successful corporate bond management strategy, as most managers generally achieve a…

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…

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…

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.

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…

Inflation is in the spotlight as an uneven global recovery unfolds, and the big question for markets is whether recent spikes resolve quickly as pent-up demand and supply bottlenecks clear, or if elevated inflation proves more persistent – and problematic. The pandemic also still looms large in economic and market outlooks,…

Many factors can explain return attribution differences in credit portfolio returns – curve, interest rate positioning, sector allocation and security selection. Solid bottom-up fundamental credit research is certainly a cornerstone of any successful corporate bond management strategy, as most credit managers generally…

Updated annually, McKinsey's Private Markets Review offers insight into private equity, private real estate, private debt, private infrastructure, and private natural resources.

Qontigo investigates bank regulatory capital and the refinancing of AT1 bonds.

For those who are quick to dismiss inflation, it is worth remembering that it is insidious and sneaky, benign when it is under control, but a destructive force, when it is not, a genie that should be kept in the bottle. This in-depth article from Aswath Damodaran, Professor of Finance at the Stern School of Business at NYU,…

It has been a fascinating few years for the asset management industry as it seeks to rapidly adopt and embed ESG prinicples. The industry is quickly transitioning towards complete, top to bottom, intergration of ESG criteria.

This white paper reviews the characteristics of the U.S. municipal bond market and highlights the attractive qualities of taxable municipal bonds for non-U.S. investors.

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.

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…

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?

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.

A large debt overhang is one of the most salient economic legacies of the Covid pandemic, as some emerging and frontier economies could face distress servicing their debt. In this piece, PGIM Fixed Income presents an analytical framework aimed at spotting the discrepancies among emerging and frontier markets in their ability…

The SBBI Summary Edition will help investment professionals gain an understanding of major asset class returns, return calculations, and the long term impact of size, value/growth, and liquidity on returns.

In an unprecedented development, many global bond markets have been trading at negative nominal yields. This publication provides in-depth analysis of the causes of negative yields, the economic and financial impacts, and the outlook for investors.