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.

  • JP Morgan - Asset Management

    2017 Long-Term Capital Market Assumptions (JP Morgan)

    This edition of JP Morgan's Long-Term Capital Market Assumptions is written against a backdrop of low investment return expectations, slow global growth and unprecedented monetary policy decisions. The paper considers the long-term impact of the structural factors affecting economies today on a 10 - 15 year investment horizon. 

    The detailed 90 page document ...

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  • 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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  • BlackRock

    How ETFs are Transforming Active Management (BlackRock, 2017)

    Investors are increasingly turning to indexed ETFs to pursue active objectives. Institutions are using ETFs to construct portfolios, fine-tune risk and improve operational tasks like cash management and portfolio transitions. Learn more in BlackRock’s ETF Desk Reference.

    Topics include:

    • Trends in institutional ETF adoption across asset ...

  • 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.

  • 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 ...

  • 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 ...

  • BlackRock

    A New Toolkit for Managing Bond Portfolios (BlackRock, 2017)

    Trading bonds is becoming increasingly costly and time-consuming. Bond ETFs are emerging as an integral portfolio management tool for institutional fixed income investors seeking liquidity. Learn more in BlackRock’s ETF Desk Reference. Topics include: - Trends in institutional ETF adoption across asset classes - Applications for Bond ETFs and more - Exclusive analytical tools ...

  • 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.

  • MSCI

    Navigating Central Bank Intervention in Corporate Bond Markets (MSCI, 2017)

    • 04 May 2017
    • Company: MSCI

    Since the 2008 financial crisis, major central banks have purchased $9 trillion of bonds in efforts to reinvigorate the global economy. Government guaranteed securities comprise 96% of these purchases. Several central banks have purchased corporate bonds; the European Central Bank (ECB) is the largest buyer of these bonds and remains an active purchaser. With signs of rising ...

  • Loomis, Sayles & Company, L.P.

    Bank Loans: Looking Beyond Interest Rate Expectations (Loomis Sayles, Apr 2017)

    Fixed income investors may be stymied by the current mix of interest rate projections and global macroeconomic news. Interest rates remain near historical lows, and investors continue to move between risky assets and relative safe havens like Treasurys based on the latest market headlines. We believe that bank loans can be a compelling addition to fixed income portfolios in this ...

  • Aberdeen Asset Management

    Emerging markets debt: Here and beyond (Aberdeen AM, 2017)

    Although the US is embarking on a gradual path toward higher interest rates, low and even negative yields continue to proliferate across much of the developed world. As a result, fixed-income investors who normally stick close to home are searching far and wide to find ways of generating additional income in their portfolios.

    Click on the relevant link below to read the ...

  • Invesco (Europe)

    Sizing up Europe's corporate pension gap (Invesco, 2017)

    The well documented decline in corporate bond yields driven by central bank monetary stimulus has led to a substantial rise in reported deficits among corporate Europe’s defined benefit pension schemes. In the UK alone, pension deficits of FTSE 350 companies nearly doubled over the first half of 2016.

    The pension funding gap is a regional problem, but is more acute for ...