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 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.
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.
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 ...
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 ...
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 ...
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 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 ...
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.
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 ...
The authors of this academic paper examine the behavior, determinants, and implications of the equilibrium level of the real federal funds rate, defined as the rate consistent with full employment and stable inflation in the medium term.
Structural factors explain the secular decline in the natural interest rate. Although the natural interest rate will edge up, it will remain below historical average. Monetary policy normalization will be achieved with a low federal funds rate.
This 29-page report by State Street Global Advisors (SSGA) and AFP 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.
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
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 ...
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.
Here’s an asset class that continues to defy the odds. Despite concerns of high debt levels, growing geopolitical risks and sluggish global growth, emerging markets (EM) corporate debt has once again delivered another year of impressive results.
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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 ...
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 ...
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.
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 ...
