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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.
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
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.
Working Paper
Financing Investment With Long-Term Debt and Uncertainty Shocks
February 6, 2012
This paper proposes a model of financing and investment for firms that attempts to explain both the weak correlation of Tobin’s Q with investment, and the higher correlation of bond yields with investment.
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
Alternative Thinking
Style Investing in Fixed Income
3Q 2016
Systematic investing is often applied in equity markets but less so in fixed income. Here, we show that classic-style premia—typically applied in stock selection and equity country allocation—could have also work in fixed income markets.
Working Paper
A Reduced Form CoCo Model With Deterministic Conversion Intensity
April 20, 2013
Some financial institutions issue contingent convertible bonds to cushion their capital reserves in times of crisis. This paper builds a contingent convertible bond model with a minimum of stochastic factors that can be calibrated to market prices of related securities.
Working Paper
Asset-Measurement Uncertainty and Credit-Term Structure
April 5, 2011
Studying the spike in financial market volatility in 2007, this paper tests whether credit investors’ uncertainty about a company’s asset values affects short-term credit spreads and the underlying credit term-structure.
Working Paper
(Systematic) Investing in Emerging Market Debt
March 4, 2020
We extend the analysis of systematic investment approaches to emerging market (EM) fixed income. We find that systematic exposures linked to carry, defensive, momentum and valuation themes are well compensated and lowly correlated in EM markets, and that a systematic approach to EM debt may be a powerful diversifier.