Fixed Income and Treasury - Articles & White Papers

Global central banks implemented conventional and unconventional monetary easing afterthe financial crisis. This paper assesses its effectiveness in stimulating aggregate demand through six transmission mechanisms.

The 2020 edition of J.P. Morgan Asset Management's Long-Term Capital Market Assumptions draws on the best thinking of the firm's experienced investment professionals worldwide. Refined and expanded over 24 years, the in-depth, proprietary process behind the creation of the report provides 10- to 15-year risk and return…

An analysis of potential investment returns to the year 2100 led us to consider four themes that we think will have a pervasive influence over the rest of the century: low bond yields, demographics, climate change and technological innovation. All four are interlinked, with feedback mechanisms from one to the other. We…

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…

This paper by FTSE Russell provides an in-depth analysis of the carry concept in bond markets. It's a well-known concept to practitioners and academics which has been leveraged in the currency markets for decades. With the understanding of such FX carry trades becoming established, recent academic publications have explored…

An analysis of potential investment returns to the year 2100 led us to consider four themes that we think will have a pervasive influence over the rest of the century: low bond yields, demographics, climate change and technological innovation. All four are interlinked, with feedback mechanisms from one to the other. We…

Has central banks’ Quantitative Easing (QE) been a blessing or a curse for investors? After averting a 1929-style global depression in the wake of the Lehman collapse in 2008, central banks in key economies have faced the Herculean task of unwinding their crisis-era emergency measures, involving zero-bound interest rates and…

In this paper, FTSE Russell introduces the notions of climate risks and how they would translate into sovereign risk. Climate risks are likely to affect the long-term investment horizon of sovereign bond investors, well beyond the general short-term perspective of financial investments. Alongside traditional fundamental…

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…

Fixed income investing has undergone a sea change in the past decade. By tossing out some active management orthodoxies and embracing new technologies and quantitative techniques, the authors of this paper believe that some managers are better equipped to capture unique insights and excess returns for their clients. Several…

Fixed income investing has undergone a sea change in the past decade. By tossing out some active management orthodoxies and embracing new technologies and quantitative techniques, the authors of this paper believe that some managers are better equipped to capture unique insights and excess returns for their clients. Several…

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…

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.

This paper by M&G Investments looks at the investment benefits of the loan asset class as a whole, the key characteristics of the markets in Europe and the US, and why it may make sense for institutional investors to consider European loans particularly within the context of a diversified investment portfolio.

This paper by AB provides a practical guide for understanding and navigating China’s onshore corporate-bond market and its evolving regulatory and legal landscape.

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.

To hedge or not to hedge in fixed income? The answer is always hedge currency risk– but there’s more to it than that.

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.