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Journal Article

Dynamics of the Shape of the Yield Curve

In this article, we examine two broad questions about yield-curve behavior: How to interpret the steepness and curvature of the curve on a given day? And how does the yield curve evolve over time? Yield curve shape reflects the market’s rate expectations, required bond risk premiums, and convexity bias.

Journal Article

Euro Swap Spreads

The Euro swaps market is among the largest financial markets in the world.

Alternative Thinking

Inversion Anxiety: Yield Curves, Economic Growth, and Asset Prices

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.

Journal Article

Value Investing in Credit Markets

In this paper we outline an approach to make use of accounting and market based information to forecast corporate default.

Journal Article

What Really Happened to U.S. Bond Yields

Long-term U.S.

Journal Article

When Do Bond Markets Reward Investors for Interest Rate Risk?

Fixed-income portfolio managers pay considerable attention to risk/return tradeoffs.

Alternative Thinking

The Illusion of Active Fixed Income Diversification

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.

Journal Article

Common Factors in Corporate Bond and Bond Fund Returns

This paper undertakes a comprehensive analysis of cross-sectional determinants of corporate bond excess returns. We find strong evidence of positive risk-adjusted returns to measures of carry, defensive, momentum and value.

Journal Article

How Well Does Duration Measure Interest Rate Risk?

Fixed-income managers use duration to measure the risk of their portfolios.

Journal Article

On the Distribution of Financial Futures Price Changes

Among the victims of the October 1987 market crash were the popular and convenient assumptions of nearly continuous and normally distributed price change processes.