Details

Systematic Fixed Income

An Investor's Guide
Wiley Finance 1. Aufl.

von: Scott A. Richardson
35,99 €
Verlag:	Wiley
Format:	EPUB
Veröffentl.:	17.05.2022
ISBN/EAN:	9781119900191
Sprache:	englisch
Anzahl Seiten:	304

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Beschreibungen

Titelbeschreibung

Understand the role and potential of fixed income as an asset class Systematic Fixed Income: An Investor’s Guide offers readers a powerful, practical, and robust framework for investors and asset managers to preserve the diversifying properties of a fixed income allocation, and add to that unique sources of excess returns via systematic security selection. In other words, this framework allows for efficient capture of fixed income beta and fixed income alpha. Celebrated finance professional Dr. Scott Richardson presents concrete strategies for identifying the relevant sources of risk and return in public fixed income markets and explains the tactical and strategic roles played by fixed income in typical portfolios. In the book, readers will explore: <ul> <li>The implementation challenges associated with a systematic fixed income portfolio, including liquidity and risk</li> <li>The systematic return sources for rate and credit sensitive fixed income assets in both developed and emerging markets</li></ul>An essential read for asset managers and institutional investors with a professional interest in fixed income markets, Systematic Fixed Income: An Investor’s Guide deserves a place in the libraries of advanced degree students of finance, business, and investment, as well as other investment professionals seeking to refine their understanding of the full potential of this foundational asset class.

Inhaltsverzeichnis

Preface xiii Acknowledgments xv About the Author xvii Chapter 1 Setting the Stage 1 1.1 What is fixed income? 1 1.2 How big are fixed income markets? 3 1.3 What does it mean to be systematic? 8 1.4 Which fixed income markets will this book focus on? 15 1.5 Commonly used fixed income analytics 17 1.6 Other fixed income considerations 24 References 28 Chapter 2 Fixed Income – Strategic Asset Allocation 29 2.1 What are the key drivers of fixed income security returns? 29 2.2 What traditional risk premia can be harvested in fixed income? 36 2.3 The strategic diversification benefit of fixed income 50 2.4 Is the strategic diversification benefit of fixed income threatened in a low-interest-rate environment? 54 References 55 Chapter 3 Fixed Income – Tactical Asset Allocation 57 3.1 Market timing – term premium 57 3.2 Market timing – credit premium 70 3.3 Other considerations 83 References 88 Chapter 4 Incumbent Active Fixed Income Managers 89 4.1 Framework for active fixed income management 89 4.2 US Aggregate (Core Plus) benchmarked fixed income managers 94 4.3 Global Aggregate benchmarked fixed income managers 97 4.4 Unconstrained Bond Funds 100 4.5 Emerging Market fixed income managers 102 4.6 Credit long/short managers 104 References 108 Chapter 5 Security Selection – Rate-Sensitive Assets 109 5.1 What is the investment opportunity set for developed market government bonds? 109 5.2 Reducing the dimensionality 112 5.3 A framework for security selection of government bonds (investment themes) 119 5.4 A framework for security selection of government bonds (level, slope, and curvature) 123 5.5 Extensions 131 References 135 Chapter 6 Security Selection – Credit-Sensitive Assets 137 6.1 What is the investment opportunity set for developed market corporate bonds? 137 6.2 Dimensions of active risk taking within corporate bonds 145 6.3 A framework for security selection of corporate bonds (investment themes) 149 6.4 A framework for security selection of corporate bonds (performance) 158 6.5 Extensions 163 References 170 Chapter 7 Security Selection – Emerging Markets (Hard Currency) 173 7.1 What is the investment opportunity for emerging market fixed income? 173 7.2 A framework for security selection of hard currency emerging market bonds (investment themes) 178 7.3 A framework for security selection of emerging market hard currency bonds (performance) 182 7.4 Extensions 184 References 186 Chapter 8 Portfolio Construction Considerations 187 8.1 Choices in the investment process (design and investment universe) 187 8.2 Choices in the investment model (expected returns) 191 8.3 Choices in the portfolio construction process (optimization, rebalancing, trading) 199 8.4 Other topics 207 References 208 Chapter 9 Liquidity and Trading Considerations 209 9.1 Some context for the liquidity challenges of fixed income assets 209 9.2 Basics for trading credit-sensitive assets 210 9.3 Electronification of trading for credit-sensitive assets 219 9.4 Primary markets – liquidity provision 221 9.5 Secondary markets – liquidity provision 226 9.6 Ancillary topics 228 References 232 Chapter 10 Sustainability 233 10.1 Interest in ESG/sustainability 233 10.2 Sustainable investing with credit-sensitive assets 235 10.3 Sustainable investing with rate-sensitive assets 249 References 256 Chapter 11 Putting It All Together 259 11.1 What might a successful systematic fixed income investing process look like? 259 11.2 Some final thoughts 272 Reference 277 Index 279

Autorenportrait

SCOTT A. RICHARDSON, PhD, is a Director at Acadian Asset Management, leading the systematic credit business. He is a professor at London Business School and has held senior positions at AQR Capital Management and BlackRock (Barclays Global Investors). He is an editor of the Review of Accounting Studies. Dr. Richardson earned his Ph.D. in Business Administration from the University of Michigan.

Back cover copy

PRAISE FOR SYSTEMATIC FIXED INCOME “Systematic Fixed Income is the definitive companion for portfolio managers and students of fixed-income markets. Dr. Richardson expertly lays the subject open, clearly explaining the how and why of tactical and strategic allocation of fixed-income portfolios. There is no substitute for this book.” —DARRELL DUFFIE, Adams Distinguished Professor of Management and Professor of Finance, Graduate School of Business, Stanford University “Dr. Richardson’s book is a thoughtful compilation of knowledge that he has accumulated throughout his distinguished career as both an academic and a practitioner. I strongly recommend it to anyone interested in learning about fixed income investing—systematic or otherwise.” —NAVNEET ARORA, Ph.D., Head of Global Quantitative Strategies, Citadel “Scott Richardson, one of the pioneers of systematic fixed income investing and leading practitioners in the field, has produced a highly readable guide to the process, navigating the difficulties with clarity, directness, and data. Referencing the latest research, much of which he has authored, this book will spearhead the next generation of fixed income management.” —STEPHEN KEALHOFER, Founder and Head of Research, KMV, DCI “Electronification of global fixed income markets has set the stage for successful systematic investing. Scott Richardson has been in the vanguard of systematic fixed income investing as an academic and practitioner. In this extremely useful book, Scott leverages his experience to provide a consistent, and practicable, guide for investors seeking alpha from timing and security selection in global fixed income.” —ROSS GARON, Global Head of Quantitative Strategies at Millennium “In this comprehensive and insightful book, Scott Richardson describes the promise of a systematic approach to global fixed-income markets, showing how investors can address the challenges arising from the fragmentation of fixed-income markets into many thousands of finite-lived assets. The book is a compelling proposal for a modern approach to fixed-income asset management.” —JOHN CAMPBELL, Morton L. and Carole S. Olshan Professor of Economics, Harvard University "Systematic investing—driven by models and data—has made major inroads in equity investment, but not in fixed income. This book is long overdue, and Scott Richardson is the ideal author. Combining his clear grasp of theory, coupled with his long practicioner experience, it is a 'must read' for fixed-income investors." —STEPHEN SCHAEFER, Professor, London Business School "This book is a must read for any serious investment professional or aspiring student interested in systematic fixed income. Scott Richardson is one of the most experienced hands-on global professionals in this space bringing a unique combination of insights that span both academia and industry." —ANDREW JACKSON, Head of Research, Vinva Investment Management