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Perspective
Fixed Income Fantasies
December 8, 2017
Active fixed income managers have had a really good run in recent decades, but is this success due to skill? We found that there is less alpha than people think due to long-term overweight to credit. But there is hope, and we explain why.
Perspective
Repurchases are the Devil’s Work! (not…)
December 7, 2017
A seemingly large amount of stock buybacks in recent years has prompted many to claim that buybacks have come at the expense of new investment. Our latest paper shows why neither the theory nor the evidence supports this view.
Perspective
Bonds Are Frickin' Expensive
August 13, 2019
When something as important as the U.S. bond yield hits historical extremes, it’s worth at least a discussion. Cliff examines the long-term relationships between real bond yields, real T-bill yields, the slope of the yield curve, and economic conditions.
Data Set
Credit Risk Premium: Preliminary Paper Data
February 27, 2018
This data set is related to “Credit Risk Premium: Its Existence and Implications for Asset Allocation." Using data from both cash bond markets (1927–2014) and synthetic CDS markets (2004–2014), we document evidence of a sizable credit risk premium.
Systematic Fixed Income: Introduction
October 9, 2018
Systematic fixed income takes a rigorous, repeatable approach to investing in bonds.
Alternative Thinking
Inversion Anxiety: Yield Curves, Economic Growth, and Asset Prices
September 12, 2019
We evaluate the ability of the yield curve slope to forecast future economic conditions, as well as returns on stocks and bonds, using over 50 years of data across six countries.
Alternative Thinking
The Illusion of Active Fixed Income Diversification
December 7, 2017
We examine popular active fixed income categories and find that a persistent overweight to high yield credit explains the majority of fixed-income managers’ active returns. We then discuss some key implications for asset owners.
Alternative Thinking
Style Premia / Bond Returns
3Q 2013
We review how style premia have historically generated attractive long-run returns in virtually every place we have studied them, and may help reduce risk through better diversification. We then look at fixed income returns in different environments
Chief Investment Quarterly
Not Expecting to Hit Your Expected Return? Cash Is the Culprit
September 18, 2019
Today’s lower return targets for pension plans are actually harder to reach. Here’s why.
Podcast
Interest Rate Limbo
September 12, 2018
We investigate why investors might want bonds in their portfolios, even in a low-yield environment.