Fixed Income and Treasury - Articles & White Papers

In this chapter, Ray Dallio reviews the rises and declines of the Dutch, British, and American empires and their reserve currencies and will touch on the rise of the Chinese empire.

Credit investors beware: actively managed credit hedge funds may provide more beta than expected and mutual funds too little. This paper investigates just how much traditional risk premia is responsible for active credit manager fund returns.

In this paper, we look at the evolution and characteristics of the Emerging Market (EM) fixed income asset class, since the 1980s, drawing on FTSE Russell data. We find EM fixed income is now a substantial and investible asset class and very different from the asset class that suffered major dislocation in 1997-98, with…

Whereas the materiality of sovereign governance (often termed political risk) has long been appreciated by traditional analysis, environmental and social factors have been secondary or conflated with other macroeconomic concerns. In this piece, Manulife IM explore a model-driven approach to benchmarking sovereign…

The authors examine the incentive of corporate bond fund managers to manipulate portfolio risk in response to competitive pressure. The authors find that bond funds engage in a reverse fund tournament in which laggard funds actively de-risk their portfolios, trading higher yields for more liquid and safer assets. De-risking…

In early December 2019, one of the world's largest pension funds announced that it "decided to suspend stock lending until further notice." This is one example of asset owners evaluating their securities lending practise due to enviromental, social and governance concernsas long term investors.

Prof. Kevin Dowd of Durham University presents a powerful case in which he argues forcefully against the use of 'Helicopter Money.'

This research is the companion study of three previous research projects conducted at Amundi that address the issue of ESG (Berg et al., 2014; Bennani et al., 2018; Drei et al., 2019). These studies, which were focused on the stock market, showed that 2014 marks a turning point for ESG screening and the performance of active…

This research is the companion study of three previous research projects conducted at Amundi that address the issue of socially responsible investing (SRI) in the stock market (Berg et al., 2014; Bennani et al., 2018a; Drei et al., 2019). The underlying idea of this new study is to explore the impact of ESG investing on…

Using comprehensive regulatory data, the authors examine trading by different investor types in government bond markets. The sample covers virtually all secondary market trading in gilts and contains detailed information on each transaction, including the identities of both counterparties. The authors find that hedge funds’…

In order to meet the objectives set by the Paris Climate Agreement, global greenhouse gas emissions must be drastically reduced. One way to achieve this goal is to set an effective carbon price. Although beneficial for the climate, a rapid increase in this price can have a significant financial impact on corporate firms.…

In this short paper, Tomas Hirst outlines the concept of 'helicopter money', its differences from quantitative easing (QE) and highlights some of its limitations.

The clock is ticking for asset owners when it comes to the development of green fixed income markets. Indeed, to meet the climate commitments under the Paris Agreement and finance the associated energy transition, Europe is missing an estimated EUR 180bn of yearly funding until 2030. To reach this level of investment, green…

In this paper, we discuss why investors might want to adopt a global approach when investing in corporate bonds rather than remaining focused on purely regional strategies.

Credit risk analysis is evolving. Although the basic tenet of assessing whether an issuer can pay back its obligations on time and in full still holds, the global fixed income (FI) community is increasingly seeking ways to factor in sustainability considerations when allocating capital and managing risks. As a first step,…

The fast-growing alternative credit space is known for its illiquid nature and apparent complexity, but investors who take the time to explore the asset class can find themselves richly rewarded. With a wealth of available solutions to match any combination of liabilities and a wide variety of duration types, alternative…

In every crisis, economists will tell us that it is time for helicopter money, and Covid-19 is no different. But the helicopters never seem to take off. Donato Maschiandaro, Full Professor of Economics, and Chair in Economics of Financial Regulation, Bocconi University tells Tim Phillips of VoxEU why not.

The author reviews the functionality of the secondary market for US Treasuries in March 2020, when the COVID-19 crisis triggered investor flows that overwhelmed intermediaries.

In this paper the authors explore how macroeconomic theory might be augmented, and the practice of monetary policy better understood, if approached through ideas from social and psychological science. A modern, inflation-targeting central bank faces ‘radical’ uncertainty both in understanding the economy and in knowing how…