Fixed Income and Treasury - Articles & White Papers

Real returns on equities and multi-asset portfolios are typically poor when inflation is high, especially in times of stagflation. Factor returns, on the other hand, are relatively insensitive to inflation cycles; hence they diversify asset class returns across various inflation buckets.

Neutral rates are expected to rise over the coming decade by about 110 basis points.

Nuveen experts explore considerations for institutions looking to allocate to alternative credit.

What’s driving increased demand for sustainable investment fixed income indexes? What are the implementation challenges of ESG in fixed income?

Welcome to terra incognita, a new era in which the certainties that a generation of investors have grown so used to have started to crumble before our very eyes. Confusion has taken center stage on financial markets.

Investors looking for higher yield in an investment grade portfolio may find a compelling opportunity in Collateralised Loan Obligations ('CLOs'). The global CLO market has experienced tremendous growth in recent years, surpassing $1 trillion, making it an asset class that should not be overlooked.

Emerging markets are particularly vulnerable to energy and food price shocks. Our latest research looks at the key factors behind food price vulnerability and dives deeper into five countries. It features our food price vulnerability screen, a quantitative tool we created to determine which countries are vulnerable to the…

This edition of The Big Mac offers a deep dive into fixed income valuation from the point of view of the strategic investor. MFS believes that beyond near-term volatility the valuation backdrop for fixed income is compelling, especially for investors with a longer time horizon.

This article analyses the 50 worst one-day shocks and the following days in stocks, bonds, and commodities. It also looks at how the Multi-Asset Trend-Following strategy performed during the same periods. Further, the second part of this article focuses on critical geopolitical events (the starts of major wars, international…

Federal Home Loan Banks lend to insurers at very competitive rates, providing opportunities to add alpha or enhance yield by borrowing at low cost and investing in risk-appropriate markets.

Investors are embracing sustainable investment strategies in passive fixed income like never before. Billions of dollars are flowing into ESG-tilted sovereign debt as asset owners try to mitigate their exposure to climate risks. But there are unintended consequences, notably related to biases present in the ESG assessment…

The most common models to assess asset returns are a linear combination of risk factors. Amundi has employed tree-based machine learning algorithms to capture nonlinearities and detect interaction effects among risk factors in the EUR and USD credit space.

In the past few years, bond markets have witnessed the emergence of a new set of instruments that are categorised under the now relatively well-recognised term 'sustainable debt'. Sustainable bonds aim to help governments and corporates to raise proceeds to finance specific sustainable activities.

Insurers are increasingly looking to broaden their staple diets of traditional fixed income and introduce exotic flavours of credit to the core investment portfolio in order to satisfy their appetite for higher risk-adjusted returns, diversification of risk and greater capital efficiency. More exotic asset classes, like…

ESG integration and sustainable investing have gained considerable traction in global fixed income markets. Investment Directors Anand Dharan and Meredith Joly and Fixed Income Trader Keenan Choy discuss this ongoing trend and some of its key implications for asset allocators.

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.

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…

This paper proposes a weighted group neural network model and reexamines whether treasury bond returns are predictable when real-time, instead of fully-revised, macro information is used. Real-time macro vintage data and news-based topic attention are taken into account. We find that news contains rich information on future…