Evidence of Predictability in Bond Indices and Implications for Fixed-Income Tactical Style Allocation Decisions

Noël Amenc, Philippe Malaise, Lionel Martellini, Daphné Sfeir: This paper presents strong evidence of predictability in various fixed-income style portfolio returns using a robust recursive modelling approach based on multi-factor models for the return on bond indices.

Author(s) :

Noel Amenc

Professor of Finance, EDHEC Graduate School of BusinessHead of Research, Misys Asset Management Systems

Philippe Malaise

Professor of Finance, EDHEC Graduate School of Business

Lionel Martellini

Professor of Finance, EDHEC Graduate School of BusinessScientific Director, EDHEC Risk and Asset Management Research Centre

Daphne Sfeir

Senior Research Engineer, EDHEC Risk and AssetManagement Research Centre

We also emphasise the benefits of an optimal market neutral strategy that generates abnormal return from timing between traditional Treasury, Corporate and High Yield bond indices, while maintaining a zero exposure with respect to a global bond index.
Pdf
Evidence of Predictability in Bond Indices and Implications for Fixed-Income Tac...
(-1.00 B)
Type : Working paper
Date : le 01/10/2003
Extra information : >For more information, please contact EDHEC Research and Development Department [ research@drd.edhec.edu ]
Research Cluster : Finance

See Also

Mr. Edouard Philippe, the France’s Prime Minister, on EDHEC’s Lille campus
News
- 23-02-2018
In front of over 1,300 EDHEC students, France’s Prime Minister Edouard Philippe...
TEAM FRANCE EXPORT
News
- 23-02-2018
February 23, EDHEC Business School organizes the Team France Export, in...
Assets replicating Scientific Beta’s multi-factor indices reach USD 25bn
News
- 22-02-2018
Scientific Beta, the smart beta index provider offshoot of EDHEC-Risk Institute, has...
EDHEC Named France National Champions of the KPMG International Case Competition
News
- 20-02-2018
Impact Consulting, a team of four, EDHEC M1 Business Management students, are national...