Fixed Income and Treasury - Articles & White Papers

Most investors are familiar with equity index investing, but less so with indexing fixed income. As a result of this lack of understanding, a growing number of publications are questioning the validity of bond indexing.

BlackRock would argue that fixed income indexing transforms a highly fragmented and…

Although much factor research focuses on the equity market, the concept and benefits of factor investing apply equally well to the corporate bond market.

Speed read

• Increasing evidence to support factor investing in corporate bonds
• Allocation to multiple factors reduces relative risk; enhancing…

A decade after the worst of the Global Financial Crisis (GFC), Nathan Sheets, PhD, former director of the Division of International Finance for the Federal Reserve Board, looks back at the instability of the global financial system and details the role of the Federal Reserve as the international lender of last resort.…

As the global investment landscape continues to evolve, iShares aims to provide solutions to help clients overcome investment challenges. Institutions are increasingly using ETFs as tools to overcome these challenges, and our 2018 iShares institutional Guide to ETFs is a resource to help them navigate the ever-evolving ETF…

The implementation of Europe's money market fund reform is imminent, with all existing MMFs required to comply with the new regulations by 21 January 2019. Are you prepared?

This Research Foundation brief explores various dimensions of the high-yield bond market. One contributor decomposes returns and relates risk and associated risk premiums via an econometric fair value model. Another illustrates principles of credit analysis via a case study involving a debt-financed merger. A third…

Institutional investors are increasingly recognizing the benefits of bond ETFs. In the three years since BlackRock first published the Guide to Bond ETFs, a diverse set of asset managers, insurers and pensions have adopted ETFs for the first time. Even active bond buyers are supplementing portfolios of individual issues with…

eVestment analyzed the actions that U.S. public plans are taking to mitigate the downside risk from shifting and rising rates. In U.S. markets, this has resulted in a flattening yield curve and heightened awareness and anticipation of a U.S. rising rate environment.

Unconstrained investing strategies can provide a solution. From an investment perspective, successful frameworks generate material return above the risk-free rate and have built-in drawdown protection. Meanwhile, thanks to their unconstrained and dynamic nature, these strategies can also work as an efficient governance…

The institutions participating in the Greenwich Associates 2017 U.S. ETF Study are preparing their investment portfolios for the return of volatility and the shift to a rising interest rate environment. As part of those efforts, they’re increasing their use of ETFs and integrating the funds into more sophisticated portfolio…

Extending price momentum tests to the longest available histories of global financial assets, including country equities, government bonds, currencies, commodities, sectors and U.S. stocks, we create a 215-year history of cross-sectional multi-asset momentum, and confirm the significance of the momentum premium inside and…

This 64-page report by State Street Corporation provides detailed insights into important legislative and regulatory developments in the European Union - from MiFID II, to GDPR, to some of the regulatory implications of Brexit.

Style investing has become part of the investing nomenclature for equity markets. To date, despite the massive size of fixed income markets, little research has examined the efficacy of style-based investing in fixed income. In this paper we summarize a common style based framework for capturing excess returns for both…

As rates begin their steady climb, traditional fixed income approaches will struggle to deliver the results asset owners need to meet their liabilities. Many investors are now breaking out of their comfort zone and considering alternative fixed income solutions, such as multi-asset credit (MAC) strategies. Here, we discuss…

This report by Vanguard analyzes the historical impact of an emerging-market tilt on a portfolio. We find that emerging-market bonds have performed more like equities than bonds, and their potential to enhance a portfolio's risk-return properties has depended on which asset class is used to fund the position.

Global active bond funds are not all created equal. Vanguard's latest research paper, Global active bond fund returns: A factor decomposition, analyzes 15 types of these funds to determine the sources of their results. How much can be explained by risk factors including term, credit, currency, and high yield, and how…

The last seven to eight years have been underscored by a protracted period of historically low interest rates, itself a product of a slow global recovery and unprecedented levels of central bank intervention in the form of quantitative easing. As we move further into 2018, more central banks appear set to follow the US and…

This report (co-authored by State Street Global Advisors and the Association of Financial Professionals) provides the findings of a recent survey on liquidity. It provides critical insights into the challenges of navigating shifts in the geopolitical, interest rate, and regulatory landscapes of cash management.

This report provides a helpful snapshot of the current state of ESG factors in credit risk analysis (CRA). It specifically considers what investors and CRAs are already doing in terms of thinking and activities, what they are aiming for and what their expectations are.

This paper by Aon Hewitt discusses direct lending, a growing segment of the private debt market. Private debt includes a wide range of illiquid credit strategies, including distressed debt, direct lending, mezzanine debt, special situations, and venture debt. U.S. banks have significantly scaled back their middle-market…