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Can global bond fund managers generate alpha using currency volatility?
Konstantinov, Gueorgui - In: International journal of bonds and derivatives 1 (2014) 2, pp. 111-133
Persistent link: https://www.econbiz.de/10011312444
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Aktives Rentenportfoliomanagement : eine vergleichende Analyse von Publikumsfonds und Fixed-income-arbitrage-Hedgefonds
Tetzlaff, Marc - 2009
Persistent link: https://www.econbiz.de/10013438319
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Original sin redux : role of duration risk
Bertaut, Carol C.; Bruno, Valentina; Shin, Hyun Song - 2024
We highlight the role of duration and exchange rate risks on portfolio flows by using a unique and comprehensive database of US investor flows into emerging market government bonds denominated in local currency. Borrowing long-term mitigates roll-over risk but amplifies valuation changes that...
Persistent link: https://www.econbiz.de/10014458705
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Performance-Messung von Bondfonds : eine empirische Untersuchung von CHF- und DEM Bondfonds
Maag, Felix - 1999
Persistent link: https://www.econbiz.de/10001402961
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Return distributions of equity-linked retirement plans
Detering, Nils; Weber, Andreas; Wystup, Uwe - 2010
We have compared the performance of savings plans within the class of difference capital guarantee mechanisms: from the stop loss to classic investments in actuarial reserve funds. CPPI strategies with different leverage factors can be viewed as a compromises between these two extremes. In...
Persistent link: https://www.econbiz.de/10008798351
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Missing the marks? : dispersion in corporate bond valuations across mutual funds
Cici, Gjergij; Gibson, Scott; Merrick, John J. - In: Journal of financial economics 101 (2011) 1, pp. 206-226
Persistent link: https://www.econbiz.de/10009242902
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The performance of corporate-bond mutual funds : evidence based on security-level holdings
Cici, Gjergji; Gibson, Scott - 2010
This is the first study of corporate-bond mutual fund performance that examines detailed security-level holdings and … equity funds that shows evidence of stock-selection ability, we do not find evidence consistent with bond fund managers, on … weakly positive evidence of ability to time corporate bond characteristics. Overall results show that the costs of active …
Persistent link: https://www.econbiz.de/10008748159
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Missing the marks? : dispersion in corporate bond valuations across mutual funds
Cici, Gjergji; Gibson, Scott; Merrick, John J. - 2010 - First Draft: November 2007, This Draft: July 14, 2010
dispersion is related to bond-specific characteristics associated with liquidity and market volatility. TRACE may have …
Persistent link: https://www.econbiz.de/10008760338
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Mutual funds and safe government bonds : do returns matter?
Graziano, Marco; Habib, Maurizio Michael - 2024
This paper investigates the sensitivity of the demand for safe government debt to currency unhedged and hedged excess returns in a sample of US mutual funds. We find evidence of active rebalancing towards government bonds that offer relatively higher returns on an unhedged basis, in particular...
Persistent link: https://www.econbiz.de/10014527087