We examine the dynamics of bond correlation using a broad sample of US corporate bonds, and document that bond … correlation varies heavily over time. We attribute this variation in bond correlation to variation in risk factor correlation … sentiment decreases, i.e., corporate bond investors exhibit stronger flight-to-quality when their sentiment is low. Thus, low …

With the recent development of the European debt crisis, traditional index bond management has been severely called …-budgeting approach is the most appropriate scheme to manage sovereign risk in bond portfolios and gives very appealing results with … respect to active management of bond portfolios …

leverage of government bond portfolios between DMs and the AEM. It first identifies the potential diversification and describes … the financial integration for incorporating AEM government bonds into DMs government bond portfolios. In the second phase … benefit of the strategy. In the last phase, a robust test examines the strength of bond portfolio performance between DMs with …

In their seminal paper on bond fund performance, Blake, Elton and Gruber (1993) state that survivorship bias is … unimportant for this market segment. Many bond fund studies have since been published without treating survivorship bias despite … disappearance of bond funds comprehensively. As key determinants we identify fund size and flows. Compared to equity funds, returns …

track their benchmarks, but that Investment Grade corporate bond ETFs underperform their benchmarks and High Yield corporate … bond ETFs even severely underperform their benchmarks. We provide evidence that the transaction costs of the underlying …

which hedge fund strategies outperform the U.S. equity and/or bond markets. The results from the realized and simulated …

of corporate bond portfolios sorted by past performance. Based on the evidence, we develop a model connecting bond … (higher) recovery value. In this case, the bond momentum can exist, because the “recovery premium” becomes more important when ….S. government bonds display no momentum, yet it emerges in sovereign bond returns. Time-varying aggregate default shocks and firm …

which hedge fund strategies outperform the U.S. equity and/or bond markets. The results from the realized and simulated …