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.

Auteur(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

Présentation :

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...
(1.38 MB)
Type : Working paper
Date : le 01/10/2003
Complément d'informations >For more information, please contact EDHEC Research and Development Department [ research@drd.edhec.edu ]
Pôle de recherche Finance

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