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.
The financial system as investors have known it for many decades is dealing with a new reality of negative interest rates and yields. Behind this phenomenon lie many factors and their consequences that are important for every financial professional to understand. In a levered financial system, central banks globally have had…
Many factors can explain return attribution differences in credit portfolio returns – curve, interest rate positioning, sector allocation, and security selection. Solid bottom-up fundamental credit research is certainly a cornerstone of any successful corporate bond management strategy, as most managers generally achieve a…
This paper studies the differential credit risks embedded in the cross-section of credit spreads. Using corporate bond data from 1999 to 2018, Dimensional find that credit spreads relative to those of peers – defined as bonds with the same stated credit rating – contain reliable information about future bond performance and…
A large debt overhang is one of the most salient economic legacies of the Covid pandemic, as some emerging and frontier economies could face distress servicing their debt. In this piece, PGIM Fixed Income presents an analytical framework aimed at spotting the discrepancies among emerging and frontier markets in their ability…
Inflation is in the spotlight as an uneven global recovery unfolds, and the big question for markets is whether recent spikes resolve quickly as pent-up demand and supply bottlenecks clear, or if elevated inflation proves more persistent – and problematic. The pandemic also still looms large in economic and market outlooks,…
This paper studies the differential credit risks embedded in the cross-section of credit spreads. Using corporate bond data from 1999 to 2018, Dimensional find that credit spreads relative to those of peers – defined as bonds with the same stated credit rating – contain reliable information about future bond performance and…
This paper develops a framework for evaluating the impact of currency hedging on expected returns and volatility and tests the implications for global equity and fixed income portfolios using data on 12 developed markets from 1985 to 2019.
The past decade has seen the use of multi-factor investing in corporate bonds increase significantly. Easier access to corporate bond data along and a growing body of research has enabled managers to develop robust factor-based strategies. As growing numbers of institutional and wholesale investors implementing factor-based…
This literature review discusses how to design a default life-cycle asset allocation for a defined contribution (DC) pension scheme. This default option may be the same for all participants, or it could be customised to plan members’ profiles. In particular, customising the allocation towards the individual’s labour income…
Robeco examines factors in a novel dataset on the cross-section of emerging market hard currency corporate bonds. They find that the size, low-risk, value, and momentum factors predict future excess returns. Single-factor and multi-factor portfolios obtain economically and statistically significant premiums. Further, alphas…
This paper examines how fixed income should evolve along a glidepath and asks questions plan sponsors should consider when choosing a target date fund, or TDF.
In this insightful white paper, Fitch Ratings outlines an approach to evaluating ESG risks in all rated sectors and highlights key trends and patterns.
The SBBI Summary Edition will help investment professionals gain an understanding of major asset class returns, return calculations, and the long term impact of size, value/growth, and liquidity on returns.
In an unprecedented development, many global bond markets have been trading at negative nominal yields. This publication provides in-depth analysis of the causes of negative yields, the economic and financial impacts, and the outlook for investors.
Many factors can explain return attribution differences in credit portfolio returns – curve, interest rate positioning, sector allocation and security selection. Solid bottom-up fundamental credit research is certainly a cornerstone of any successful corporate bond management strategy, as most credit managers generally…
The rapid and ongoing adoption of ESG across global industries has seen sustainable investments soar. However, fixed income markets and money markets have been slower to adopt ESG.
But why is this and how long will it take for these markets to catch up?
This is Credit Journal – a curated compilation of Fitch Ratings’ in-depth research and commentary. This edition takes a deep dive into the Sovereigns space, including the risks associated with rising government debt levels and related interest rate and inflation concerns.
In this paper, Aviva Investors explain why investors should look more closely at the portfolio construction process when evaluating corporate credit managers, focusing on three primary themes. First, many credit managers are vulnerable to behavioural biases that make them overly optimistic about their ability to forecast…
