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Journal Article
Active Fixed Income Illusions
December 17, 2019
Across a broad set of popular active fixed income categories, we find that passive exposures to traditional risk premia (especially exposure to credit risk) explain the majority of fixed income manager active returns.
Systematic Fixed Income: Introduction
October 9, 2018
Systematic fixed income takes a rigorous, repeatable approach to investing in bonds.
Journal Article
Style Investing in Fixed Income
March 15, 2018
A disciplined, systematic approach to over-/underweight securities based on well-known factors, or styles, such as value, momentum, carry and defensive, can offer alternative sources of outperformance not only within equities but also within fixed income markets.
Working Paper
The Complexity of Liquidity: The Extraordinary Case of Sovereign Bonds
August 1, 2016
We analyze the cross-section of developed countries’ bond spreads.We show that under certain conditions, especially credit deterioration and flight to quality, new issue, and more liquid, bond spreads tighten and become cheaper, not more expensive, relative to their less liquid counterparts.
Journal Article
Style Investing in Fixed Income Markets
April 1, 2016
A disciplined, systematic approach to over/underweight securities based on well-known factors, or styles, such as value, momentum, carry and defensive (sometimes called “quality”), can offer alternative sources of outperformance not only within equities, where these ideas have long been studied and applied, but also within fixed income markets.
White Paper
Eurozone Inflation Update: Will ECB Actions Match Its Rhetoric?
April 1, 2011
As inflation concerns take center stage in Europe, we elaborate on the challenges facing the European Central Bank and discuss potential implications for institutional investors.