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 Business - Head of Research, Misys Asset Management Systems
Professor of Finance, EDHEC Graduate School of Business
Professor of Finance, EDHEC Graduate School of Business
Scientific Director, EDHEC Risk and Asset Management Research Centre
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.
| Type: | Working paper |
|---|---|
| Date: | le 01/10/2003 |
| Research Cluster : | Finance |
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