Fixed Income and Treasury

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.
  • BlackRock

    Capital Market Assumptions (BlackRock, 2017)

    The BlackRock Investment Institute publishes capital market assumptions every quarter. We cover two time horizons: long-term equilibrium capital markets assumptions that can be used as key inputs for strategic asset allocation, and five-year assumptions that take into account how we think current economic and market conditions will play out in the medium term.

  • Invesco (Europe)

    Risk and Reward Q3 2017: Multi-factor investing (Invesco)

    This issue of "Risk and Reward" examines multi-asset multi-factor investing. While broad adoption of factor investing is still well in the future, a multi-asset multi-factor strategy permits full utilization of all potential benefits of factor investing, and therefore represents a natural evolution. We also investigate the theoretical and behavioural underpinnings of ...

  • Fidelity International

    Not just Green Bonds: Awakening the green giant (Fidelity International, 2017)

    Climate change poses one of the biggest challenges of the 21st century. Still, fixed income markets lag in their response; the ‘green’ bond market remains modest, with some environmentally conscious investors deterred by its lack of standardisation and uncompetitive returns. However, we think there is a way to address these investor concerns by targeting carbon ...

  • Royal London Asset Management

    Securitised Bonds: Finding Security in Bond Markets (RLAM, 2017)

    Secured (or securitised) bonds still carry the stigma of the 2008 financial crisis. But stigma often spells opportunity, and the fixed income specialists at RLAM argue that this asset class offers great value for managers who are prepared to get to grips with the documentation underlying individual securities. Not everyone is prepared to do this research, and as a result secured ...

    • Professional
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  • Schroders

    Long-run asset class performance: 30yr return forecasts (2017-46) Schroders

    Schroders Economics Group produces 30-year return forecasts, on an annual basis, for a range of asset classes. Here they outline the methodology used, which is based on a series of building blocks and estimates of risk premia, and surmise the key conclusions from our analysis. For the first time, this year they are also publishing a wider range of country-specific returns for ...

    • Professional
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  • Credit Suisse

    The Future of Monetary Policy (Credit Suisse, 2017)

    This Credit Suisse paper looks at the transformative changes central banks in advanced economies have undergone since 2008. The report concludes that the key issue for decision-makers globally remains to consider which fundamental direction monetary policy ought to take next, assessing two alternative scenarios that may evolve: a return to a pre-crisis "normal", or fiscal dominance.

    • Professional
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  • Federal Reserve Bank of San Francisco

    Measuring the Natural Rate of Interest (John Williams of FRBSF, Dec 2016)

    U.S. estimates of the natural rate of interest – the real short-term interest rate that would prevail absent transitory disturbances – have declined dramatically since the start of the global financial crisis. The authors of this paper find that large declines in GDP trend growth and natural rates of interest have occurred over the past 25 years in the four economies ...

  • State Street Global Advisors

    A Shifting Cash Landscape: EU Reform Investor Survey (SSGA, 2017)

    The EU's money market reform will go into effect on 21 July 2018 for new funds, and on 21 January 2019 for existing funds. Investors will need to study for the new rules, identify fund types that meet their needs, and review their Investment Policy Statement. This report by State Street Global Advisors presents the findings of a recent survey of nearly 100 investors preparing ...

  • FTSE Russell

    FTSE Russell China Bond Research Report

    With renminbi (RMB) internationalization remaining slow, the Bond Connect programme—which enables foreign institutional investors to trade securities on a Hong Kong exchange—showed boosted confidence in China’s short-term debt markets this past August. Learn how “more of the same” expectations influenced the recent trading spike, and why the ...

  • JP Morgan - Asset Management

    2018 Long-Term Capital Market Assumptions (JP Morgan AM)

    JP Morgan Asset Management's detailed Long-Term Capital Market Assumptions report is out! Now in its 22nd year, the 2017 edition explores the complex interplay between secular themes, including global aging and technological innovation, and cyclical factors—notably the slow path of policy normalization and elevated equity valuations—that will influence asset returns ...

    • Professional
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  • Invesco (Europe)

    Sub-investment grade opportunities for insurers: Senior secured loans (Invesco, 2017)

    With the introduction of Solvency II at the start of 2016, and with interest rates continuing to remain at historically low levels, insurers are increasingly looking for ways to deliver attractive risk-adjusted returns that are efficient from a capital perspective. Many are looking beyond traditional asset classes, be that investing in illiquid forms of private credit, diversifying ...

  • Invesco (Europe)

    Why should investors consider credit factors in fixed income? (Invesco, 2017)

    On the equity side, factor investing has become mainstream. In fixed income, however, factor investing remains exciting terrain for innovation. The paper provides insight into:

    • How factor investing differs between equity and fixed income
    • The unique challenges to implementing fixed income factors in portfolios
    • How Invesco Fixed Income ...

  • Cohen & Steers

    How Institutional Investors Can Benefit From Preferred Securities (Cohen & Steers, 2017)

    Many preferred securities offer yields of 5–6% or more, largely from investment-grade issuers, yet the complex and often misunderstood asset class is typically underutilized by institutional investors. We discuss how preferreds may improve income profiles and risk-adjusted returns within diversified portfolios due to their unique and complementary characteristics.