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

Bond Portfolio Optimization in the Presence of Duration Constraints - EDHEC-Risk Institute research article in the Journal of Fixed Income
News
- 19-07-2018
We are pleased to enclose an EDHEC-Risk Institute research article published in the...
Lionel Martellini discussed ageing population: goal-based investing and its application to the retirement problem
News
- 10-07-2018
Lionel Martellini, Professor of Finance at EDHEC Business School and Director of EDHEC-...
[EDHEC Experience] Light on the first urban Lab of Latin America
News
- 09-07-2018
Wide Open: in the explorers' shoes The third stopover of the Wide Open project has been...
EDHECInfra Days: Infrastructure Investors need proper benchmarks
News
- 05-07-2018
Earlier this month we held the first EDHECinfra Days event in London, bringing together...