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Mean Aversion in Fixed Income Returns : Evidence and Implications for Long Horizon Investors

Szakmary, Andrew C. - 2012

This study documents strong mean aversion in U.S. fixed income returns (but not stock returns) at 5-20 year horizons. These results are only slightly weaker for nominal returns than for real returns and prevail regardless of the period examined (1926-2011, 1951-2011, 1857-1925 or 1857-2011). I...

Persistent link: https://www.econbiz.de/10013100193

Credit Ratings, Regulatory Arbitrage and Capital Requirements : Do Investors Strategically Allocate Bond Portfolios?

Adriaan Boermans, Martijn - 2020

hold more bonds with inflated credit ratings. We estimate the probability of a bond having an inflated credit rating using … conditional credit default swap spread distributions and merge this with a unique bond-level portfolio holdings dataset. The …

Persistent link: https://www.econbiz.de/10012840987

Managing Longevity Risk : The Case for Longevity-Indexed Variable Expiration Bonds

Muralidhar, Arun - 2020

There is an annuity puzzle in that the actual allocation by individuals to annuities is low. Longevity bonds, to hedge overall economy-wide mortality risk, have been proposed, but these bonds have challenges and the proponents have not shown how governments are hedged. This paper recommends that...

Persistent link: https://www.econbiz.de/10012843566

FRE-GY6711 : Quantitative Portfolio Management Module 3 - Fixed Income (Presentation Slides)

Philips, Thomas K. - 2017

Persistent link: https://www.econbiz.de/10012951803

Factor-Based Tactical Bond Allocation and Interest Rate Risk Management

Thomann, Andreas - 2019

This paper reports two composite bond market factor investment strategies for the Swiss and global sovereign bond …, and to base the duration debate upon. As such, the output of our bond market factors can guide tactical interest rate …, individual factors. Following an investment strategy based on a composite bond market factor, constructed as the equally weighted …

Persistent link: https://www.econbiz.de/10012900024

Analyzing Hedging Strategies for Fixed Income Portfolios : A Bayesian Approach for Model Selection

Bessler, Wolfgang - 2016

During the recent European sovereign debt crisis, returns on EMU government bond portfoli-os experienced substantial … hedging strategies for EMU bond portfolios for non-crisis and crisis periods. We analyze single and composite hedges with the …

Persistent link: https://www.econbiz.de/10013006511

Bond Portfolio Management Under Solvency II Regulation

Drenovak, Mikica - 2020

We develop a novel approach to the bond portfolio optimization in insurance companies that are subject to the new …

Persistent link: https://www.econbiz.de/10012850368

Portfolio Diversification Effects of Catastrophe Bonds

Clark, Steven P. - 2016

This paper demonstrates that catastrophe (cat) bonds provide substantial benefits of diversification when added to an investor's opportunity set already consisting of securities from traditional asset classes. We find that cat bonds significantly reduce drawdown measures and tail risk under...

Persistent link: https://www.econbiz.de/10012987284

Enhancing the Toolbox of Fixed Income Active Portfolio Management

Violi, Roberto - 2016

Many central banks adopt an active investment style for reserve management. This paper discusses various possible enhancements to active management tools and processes to generate extra returns in an increasingly challenging environment. The proposed framework is based on an affine model, which...

Persistent link: https://www.econbiz.de/10012991857

Duration, Convexity and the Optimal Management 0f Bond Portfolios for Insurance Companies

Cesari, Riccardo - 2018

Two Fong-Vasicek immunization results are discussed and applied in relation to asset portfolios of a sample of Italian insurance companies managing life insurance with-profit savings. Firstly, we analyzed the contribution of Fong and Vasicek (1984) providing a lower bound on the “shortfall”...

Persistent link: https://www.econbiz.de/10012916935