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.
This white paper is the third in a series. First, it introduces a new equity market valuation metric that outperforms the traditional ones. Second, it reveals 10 largely unknown but highly significant facts about the U.S. economy and financial markets, which improve investors’ ability to navigate market moves. Third, it re-…
With U.S. economic growth maintaining sufficient momentum and high inflation becoming a political and social issue, Fixed Income Views explores the implications for investors.
This paper studies the cross-section of expected municipal bond returns, showing that municipal bond yields contain reliable information about differences in expected municipal bond returns across states of issuance, duration range, and credit quality. Hence, using information embedded in those yields, Dimensional can target…
Forward rates contain reliable information about cross-sectional differences in expected global corporate bond returns. Many alternative bond-level and issuer-level variables, by contrast, are not reliably linked to expected bond returns or provide information about expected bond returns only through their correlation with…
Mercer's annual examination of key considerations across the various private markets asset classes and geographies touches upon: the IPO market and the increasing usage of special purpose acquisition companies (SPACs) as an exit path for venture and growth capital funds, global private equity, private infrastructure, private…
PGIM Fixed Income overhauls the traditional 60/40 portfolio, but not because of low bond yields, They contend that investor objectives are less about managing volatility and more frequently about accumulating savings to meet future needs, such as retirement spending. Hence, their 60/40 overhaul progresses through the…
Investor desire for income continues to grow, and with it the question of how to source and navigate credit investment opportunities in a continually expanding and increasingly global marketplace. The below investment grade public and private credit markets are now over $7 trillion with private credit increasing faster than…
The Russo-Ukrainian war is dominating news headlines as well as financial markets. Any short-term forecast is subject to a high degree of uncertainty, given the risks surrounding the course of the war and the impact of sanctions and countersanctions. Contrastingly, this publication focuses a long-term perspective.
Freddie Mac Multifamily K-deals (Freddie K) is one of the major agency CMBS products, with $321 billion outstanding balance as of December 2021. The underlying loans are typically 10-year fixed rate or floating rate loans, with a 30-year amortisation period, backed by multifamily properties. Read this paper to learn more…
To generate sufficient income, relative to both historical standards and inflation, consider allocating to senior secured loans as they offer yields comparable to those of high yield bonds, but with less duration risk due to their floating rate coupons. And because loans are more senior in their capital structure, they have…
The 'new issue premium' is a proven phenomenon in credit markets. Corporate bonds are often underpriced at issuance, and then post strong price gains. Using documented evidence of this recurring pattern, NN IP researched a set of bond issue features that contribute to the new issue premium and created a custom ensemble model…
Join Henry Song, CFA, portfolio manager for the Diamond Hill Core Bond and Short Duration Securitized Bond strategies, for a discussion on the opportunities in the investment-grade fixed income market, including a breakdown of the securitized markets and the importance of looking beyond the benchmark for investments in…
The fiscal theory of the price level (FTPL) provides an update and revision of monetary theory to address puzzles raised by the failure of both the new Keynesian theory (commonly used by central bankers) and neoclassical monetarism (in particular, the quantity theory of money as interpreted by Milton Friedman and Anna…
The highly rated (AAA to A) market is migrating to BBB on a secular basis as companies take advantage of low yields to optimise their overall weighted average cost of capital (WACC).
A bond investor’s options today may seem like having to choose between a rock and a hard place. Either settle for low expectations in terms of what you may earn on a bond, or try to reinstate yesterday’s fixed income returns by reaching for yield earned through additional risk.
The Enterprising Investor blog revisits a 2011 address by American economist John Howland Cochrane to the American Finance Association, seeking to explain subsequent long-term returns on common stocks with current dividend yields. Cochrane posits a pattern of predictability across markets – that a yield or valuation ratio…
The Alternative Income strategy universe has expanded and evolved over time due to multiple regulatory and structural changes to the financial markets, as well as growing demand for investment products that have the potential to generate higher yields as return expectations within traditional fixed income sectors have…
In this paper, FTSE Russell illustrates how climate change could materialise should no further mitigation efforts be implemented. They focus on two specific climate hazards: (i) the average temperature and (ii) the frequency of very hot days.
CLOs have been gaining wider prominence in markets in recent years, and it’s no surprise why. They have historically offered a compelling combination of above-average yield and potential appreciation. But for many investors, the basics of how they work, the benefits they can provide, and the risks they pose are wrapped in…
In this note, the authors decompose equity and bond returns into their fundamental drivers based on expected cash flows, inflation, real interest rates and risk premiums.