Fixed Income and Treasury - Articles & White Papers

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…

Epoch’s investment philosophy can be summarized by saying that it is the ability to generate free cash flow that makes a company worth something to begin with, and it is how management allocates that free cash flow that determines whether the value of the business rises or falls. In this paper, we address the former of this…

Authored by Lior Jassur of MFS Investments, this paper charts the rise of corporate borrowing in the US and Europe against the backdrop of broader trends in credit. It also analyzes some of the key investment considerations: debt service, credit quality and risk compensation.

With the maturation of defined benefit pension plans, many have reached an inflection point where cash flows are turning from positive to negative. This is causing a greater emphasis to be placed on income in asset allocation decisions. Income from bonds, however, has withered while alternative sources of income come with…

This study provides an important extension of existing research on the performance of options-based strategies by considering the impact of the inclusion of option-based equity strategies in diversified institutional portfolios. Specifically, the analysis assesses the historical impact of the application of rules-based…

Today, structured finance assets – asset backed securities (“ABS”) – form a European market with over Eur1 000 billion-worth of outstanding assets. Particularly in Europe, the market’s growth since 2009 is not only indicative that investors view structured finance as an attractive investment opportunity, but is also arguably…

Cashflow matching strategies are customised investment solutions, designed to enable clients such as pension schemes or insurance companies to meet their liabilities. LGIM believes that emerging market fixed income has an important role to play in designing cashflow matching solutions.

Our medium-term baseline scenario is that of a late business cycle slowdown supported by the dovish U-turn of central banks. We expect economic growth to move below potential for most developed economies in 2020, a trend that will be further exacerbated in 2021 by a deteriorating cyclical environment and still anaemic global…

There has been a proliferation of press coverage in recent months about the growth of the triple-B rated corporate bond market. Some market participants are concerned that the next economic downturn could spark a wave of downgrades of companies rated BBB to high yield, with these ‘fallen angels’ potentially exposing…

Collateralized loan obligations are robust, opportunity-rich debt instruments that offer the potential for above-average returns versus other fixed income strategies. Here, we explore how these instruments work, as well as the benefits and risks investors should consider when allocating to this asset class.

The fragmentation of fixed income markets leads to opportunities for total-return, multi-sector fixed income investors. PGIM Fixed Income describes some of these relative value opportunities as well as an approach for building multi-sector portfolios.

Years of low interest rates have prompted fixed-income investors to look beyond traditional sources of yield and consider whether illiquid assets can boost returns. But while this illiquidity premium is widely discussed and increasingly sought, it has been inadequately measured and investors lack an understanding of how it…

This report 24-page by Wells Fargo Investment Institute discusses the organisation's methodology for constructing capital market assumptions (CMAs) of the various asset classes as well as the long-term factors that may affect the overall investment-strategy process. It is intended to accompany its monthly Asset Allocation…

A client recently asked an intriguing question: “Do style factors behave differently after a yield-curve inversion?” Intuitively, one might think they would. Particularly if a recession were looming, investors might turn to stocks that are less volatile, lower beta, more profitable, less leveraged, etc. We studied the impact…

This paper provides a synthesis of explanations for why the natural rate of interest, r*, has fallen over the last several decades. Demographic factors, declining productivity, slower output growth, and increasing inequality likely all have been important factors.

Building on our studies showing a strong relationship between the environmental, social and governance performance of companies and their credit spreads, we have partnered with researcher Beyond Ratings to determine whether similar connections exist in the sovereign credit market.

Collateralized loan obligations are not the harbingers of doom they’ve been made out to be. Here’s what the critics are missing.

The existence of factor premia is widely recognized. Initially, factor investing was mostly applied within equities, but researchers and practitioners have proven that factor premia are present everywhere. In a recent analysis, NN Investment Partners' Factor Investing team shows that this is also the case with corporate…

Lower growth and lower rates are here to stay, but volatility could be on the rise.

In January 2019, regulations were introduced to help revive European ABS issuance via a new Simple, Transparent & Standardised (STS) framework. This significantly reduces capital charges for insurers to hold high-quality ABS compared to previous requirements under Solvency II.