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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) :
Professor of Finance, EDHEC Graduate School of BusinessHead of Research, Misys Asset Management Systems
Professor of Finance, EDHEC Graduate School of Business
Professor of Finance, EDHEC Graduate School of BusinessScientific Director, EDHEC Risk and Asset Management Research Centre
Senior Research Engineer, EDHEC Risk and AssetManagement Research Centre
Presentation :
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.| 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 |
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About EDHEC
Operating from campuses in Lille, Nice, Paris, London and Singapore, EDHEC is one of the world’s top 20 business schools. Fully international and directly connected to the business world, EDHEC is a school for business, rather than a business school, where excellence in teaching and research focuses on innovation to stimulate entrepreneurship and creativity. For business from birth and dedicated to business, EDHEC makes entrepreneurs for life, able to remodel or create successful businesses wherever they work.
EDHEC functions as a genuine laboratory of ideas and produces innovative solutions valued by businesses. The School’s teaching philosophy, inspired by its award-winning research activities, focuses on “learning by doing”.
