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Active Fixed Income Illusions 主动固定收益幻想
Pub Date : 2019-11-19 DOI: 10.3905/jfi.2020.1.086
J. Brooks, Tony Gould, Scott Richardson
Over the past 20 years, active fixed income (FI) managers have tended to deliver returns in excess of their benchmarks. This has generated a popular notion that active investing in fixed income markets is “easy.” The aim here is to assess the veracity of that notion. Across a broad set of popular active FI categories, this article finds that passive exposures to traditional risk premia (especially exposure to credit risk) explain the majority of FI manager active returns. The resulting implication is that, contrary to popular belief, traditional discretionary active FI strategies offer little in the way of true alpha and that traditional active FI strategies may significantly reduce the strategic diversification benefit of FI as an asset class. TOPICS: Fixed income and structured finance, performance measurement, fixed-income portfolio management Key Findings • Across US Aggregate, Global Aggregate, and Unconstrained categories, we find that a significant portion of fixed income manager outperformance can be explained by passive exposure to credit risk. • Credit exposure meaningfully reduces the diversification benefit of fixed income. During the worst 10 quarters for equities, active fixed income strategies have underperformed their benchmarks, at times significantly. • After allowing for persistent exposure to credit and to other traditional risk premia, active fixed income managers generate virtually no alpha. This result holds both for managers on average in each category and for individual managers.
在过去的20年里,主动型固定收益(FI)基金经理的回报往往高于基准。这产生了一种流行的观念,即积极投资固定收益市场是“容易的”。这里的目的是评估这种观念的真实性。在一系列流行的主动金融机构类别中,本文发现传统风险溢价的被动敞口(尤其是信用风险敞口)解释了大多数金融机构经理的主动回报。由此产生的含义是,与普遍的看法相反,传统的可自由支配的主动金融服务策略几乎没有提供真正的阿尔法,传统的主动金融服务策略可能会显著降低金融服务作为一种资产类别的战略多样化收益。主题:固定收益和结构性融资、绩效衡量、固定收益投资组合管理主要发现•在美国总体、全球总体和非约束类别中,我们发现固定收益经理的卓越表现有很大一部分可以通过被动暴露于信用风险来解释。•信贷敞口显著降低了固定收益的多元化收益。在股市表现最差的10个季度里,积极的固定收益策略表现落后于其基准,有时表现严重落后。•在考虑到信贷和其他传统风险溢价的持续风险敞口后,主动型固定收益经理几乎不会产生阿尔法。这一结果既适用于每个类别的平均经理人,也适用于个别经理人。
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引用次数: 8
Relative Shortage of Long-Term Treasury Securities and the Flat Yield Curve 长期国债相对短缺与平坦收益率曲线
Pub Date : 2019-10-10 DOI: 10.3905/jfi.2019.1.078
Peng Zhang
This article investigates the linkage between the interest rates term spread and the relative supply factor of long-term Treasury securities since the Debt Ceiling Crisis of 2013. The spread between the long-term Treasury yield and the Federal Funds Rate is defined as the excess return of holding long-term Treasury securities over liquid money. Evidences show that the supply factor has some significant impacts on the term spread between the 10-year yield and the Federal Funds Rate. These effects include long-run causality effect and persistent positive shock. The supply factor explains over a half of the term spread variation at longer horizons. The effects of the supply factor are stronger for the long-term part of the spread. So the recent flattening of the yield curve is partially attributable to the restrictions on the long-term financing of the government. Considering this mechanism, if Congress and the government reach agreements on some other long-term financing tools, the long-term Treasury yields and the term spread may rise unexpectedly. TOPICS: Fundamental equity analysis, accounting and ratio analysis, technical analysis
本文研究了2013年债务上限危机以来长期国债利率期限价差与相对供给因素之间的联系。长期国债收益率和联邦基金利率之间的差额被定义为持有长期国债超过流动资金的超额回报。证据表明,供给因素对10年期国债收益率与联邦基金利率的期限差有显著影响。这些效应包括长期的因果效应和持续的积极冲击。供应因素解释了超过一半的长期价差变化。供应因素对价差的长期影响更大。因此,近期收益率曲线趋平的部分原因是政府对长期融资的限制。考虑到这一机制,如果国会和政府就其他一些长期融资工具达成协议,长期国债收益率和期限价差可能会意外上升。主题:基本股票分析,会计和比率分析,技术分析
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引用次数: 0
Implications of Default Information Leakage on Recoveries 默认信息泄漏对恢复的影响
Pub Date : 2019-10-09 DOI: 10.3905/jfi.2019.1.075
Mao-Wei Hung, Wen-Hsin Tsai
Using time-series recoveries implicit in 334 defaulted bonds issued by bankruptcy-filing firms in the United States, this article examines the influence from default information leakage on the recovery process. By distinguishing default from bankruptcy filing, results show that the recoveries shortly after default or filing can substitute for each other; however, neither is a good estimator for the recovery at bankruptcy resolution. Results document the assembled determinants that drive the level of recoveries postdefault. Characterizing a higher value of changes in recoveries are reductions in credit quality, issuance amount or macro condition, or rises in asset size, or market awareness of default information leakage. As bondholders perceive default-relevant information earlier than the formal filing, distressed bond trading activities originating from the pressure to sell intensify with high transaction costs, decreasing the expectation on recoveries at filing. Alternatively, this brings in positive influence on the recoveries at bankruptcy resolution and magnifies the changes in recoveries for disvalued bonds. TOPICS: Project finance, statistical methods, credit risk management Key Findings • By distinguishing default from formal filing, our article confirms that the recoveries shortly after default or fling can substitute for each other; however, neither is a good estimator for the recovery at bankruptcy resolution. • As the market perceives default information leakage, distressed bond trading activity originating from the pressure to sell leads to lower expectation on recoveries at the instant of filing. • Alternatively, it brings in higher ultimate recoveries, resulting in large deviation in recoveries at filing with bankruptcy resolution.
本文利用美国破产申请公司发行的334只违约债券中隐含的时间序列回收率,考察了违约信息泄露对回收过程的影响。通过区分违约和破产申请,结果表明,违约或破产申请后不久的追偿可以相互替代;然而,对于破产解决后的复苏,两者都不是一个很好的估计数。结果记录了推动违约后恢复水平的决定因素。回收率变化值较高的特征是信贷质量、发行金额或宏观条件的降低,或资产规模的增加,或市场对违约信息泄露的认识。由于债券持有人在正式申请之前就意识到了与违约相关的信息,由于出售压力而产生的不良债券交易活动随着高交易成本而加剧,降低了申请时收回的预期。或者,这会对破产决议的回收产生积极影响,并放大被低估债券回收的变化。主题:项目融资、统计方法、信用风险管理关键发现•通过区分违约和正式备案,我们的文章证实,违约或挥霍后不久的回收可以相互替代;然而,两者都不是破产解决时复苏的好估计。•随着市场察觉到违约信息泄露,因出售压力而产生的不良债券交易活动导致申请时对复苏的预期降低。•或者,它带来了更高的最终回收率,导致在申请破产决议时回收率出现很大偏差。
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引用次数: 0
Editor’s Letter 编者的信
Pub Date : 2019-09-30 DOI: 10.3905/jfi.2019.29.2.001
Stanley J. Kon
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引用次数: 0
The Dollar Denominated Covered Bond Market: A Cross-Country Analysis of Credit Spreads 美元计价的担保债券市场:信用利差的跨国分析
Pub Date : 2019-09-30 DOI: 10.3905/jfi.2019.29.2.026
Karan Bhanot, Carl F. Larsson
The authors analyze the determinants of credit spreads of 674 US dollar denominated covered bonds, issued by institutions domiciled in twenty-one countries, over the sample period 1/2001 to 1/2016. Even though covered bond contracts include strong credit enhancements, there is considerable heterogeneity in observed credit spreads through time and in the cross-section. The authors find that measures of sovereign risk and country specific legal frameworks are among the most important explanatory factors for differences in spreads across these bonds. TOPICS: Project finance, statistical methods, credit risk management Key Findings • The authors study the determinants of US dollar denominated covered bond credit spreads for bonds issued in twenty-one countries during the period 1/2001 to 1/2016. • Despite carrying strong credit enhancement features, US dollar denominated covered bonds still exhibit variation in spreads both through time and in the cross-section of issuer country of domicile. • Empirical results suggest sovereign risk and country-level legal frameworks are important determinants of US dollar denominated covered bond credit spreads.
作者分析了在2001年1月至2016年1月的样本期间,由21个国家的机构发行的674只美元计价的担保债券的信用利差的决定因素。尽管担保债券合约包括强劲的信用增强,但观察到的信用利差在时间和截面上存在相当大的异质性。作者发现,主权风险指标和国家特定法律框架是这些债券息差差异的最重要解释因素。•作者研究了2001年1月至2016年1月期间在21个国家发行的以美元计价的担保债券信用利差的决定因素。•尽管具有强大的信用增信功能,但美元计价的担保债券在时间和发行人所在国的横截面上仍然表现出利差的变化。•实证结果表明,主权风险和国家层面的法律框架是美元计价担保债券信用利差的重要决定因素。
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引用次数: 0
Defining and Exploiting Value in US Treasury Bonds 定义和利用美国国债的价值
Pub Date : 2019-09-30 DOI: 10.3905/jfi.2019.1.071
R. Rebonato, J. Maeso, L. Martellini
In this article, the authors propose a definition of value in Treasury bonds that, the authors believe, is more satisfactory than definitions found in the recent literature, and that allows for statistically significant and economically relevant predictions of cross-sectional excess returns. The authors’ value pricing factor exploits the differences between the market and the theoretical values of Treasury bonds, where the theoretical value is assessed using an economically-justifiable Gaussian dynamic term structure model. The authors show that the profitability of the strategy they build using their value signal is statistically and economically significant and is closely linked to the Treasury market volatility. The authors provide an explanation for this strong link using arguments similar to what can be found in the recent literature on liquidity in Treasuries; and the authors show that their value signal is not subsumed by the best-known return-predicting factors. With an eye to practical applications, the authors also present a long-only version of their strategy. TOPICS: Analysis of individual factors/risk premia, factor-based models, style investing
在本文中,作者提出了一个国债价值的定义,作者认为,这个定义比最近文献中发现的定义更令人满意,并且允许对横截面超额回报进行统计上显著和经济上相关的预测。作者的价值定价因子利用了国债的市场价值和理论价值之间的差异,其中理论价值是使用经济上合理的高斯动态期限结构模型来评估的。作者表明,他们利用价值信号构建的策略的盈利能力在统计上和经济上都是显著的,并且与国债市场波动密切相关。作者使用类似于最近有关美国国债流动性的文献中的论点,对这种紧密联系进行了解释;作者表明,他们的价值信号不包含在最著名的回报预测因素中。着眼于实际应用,作者还提出了一种只做多的策略。主题:个体因素/风险溢价分析,基于因素的模型,风格投资
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引用次数: 1
Covered Interest Rate Parity Deviations in External Emerging Market Sovereign Debt 外部新兴市场主权债务的利率平价偏差
Pub Date : 2019-09-01 DOI: 10.3905/jfi.2020.1.080
Jonathan S. Hartley
Non-US dollar-denominated external emerging market debt issuance in euros, yen, and sterling has grown substantially in recent years. This article is the first study to explore how non-dollar external emerging market bonds violate covered interest rate parity relative to their dollar-denominated external emerging market debt counterpart bonds for a given country. Such mispricing in the post-Great Recession era creates arbitrage opportunities for investors and suggests that emerging market country policymakers could create fiscal savings by instead issuing external sovereign debt in dollars more cheaply (versus non-dollar developed world currencies like euros, yen, and sterling) and swapping the proceeds to non-dollar currencies with currency forward and spot transactions. Such hypothetical fiscal savings from switching to dollar funding collectively are estimated to be more than $1 billion annually. TOPICS: Fixed income and structured finance, exchanges/markets/clearinghouses, emerging markets Key Findings • This article is the first study to explore how non-dollar external emerging market bonds violate covered interest rate parity relative to their dollar-denominated external emerging market debt counterpart bonds for a given country. • Such mispricing creates investment opportunities and suggests that by instead more cheaply issuing external sovereign debt in dollars (versus non-dollar developed world currencies like euros, yen, and sterling) and swapping the proceeds to non-dollar currencies, emerging market country policymakers could create substantial fiscal savings by switching to dollar funding.
近年来,以欧元、日元和英镑计价的非美元外部新兴市场债券发行大幅增长。本文首次探讨了一个特定国家的非美元外部新兴市场债券相对于美元计价的外部新兴市场债券是如何违反担保利率平价的。后大衰退时代的这种错误定价为投资者创造了套利机会,并表明新兴市场国家的政策制定者可以通过发行更便宜的美元外部主权债务(相对于欧元、日元和英镑等非美元发达国家货币),并通过货币远期和现货交易将收益兑换成非美元货币,从而创造财政储蓄。据估计,如果改用美元融资,每年将节省10亿美元以上的财政开支。主题:固定收益和结构性融资、交易所/市场/清算所、新兴市场主要发现•本文首次探讨了一个特定国家的非美元外部新兴市场债券相对于美元计价的外部新兴市场债券如何违反覆盖利率平价。•这种错误定价创造了投资机会,并表明,通过更低成本地发行美元外部主权债务(相对于欧元、日元和英镑等非美元发达国家货币),并将收益转换为非美元货币,新兴市场国家的政策制定者可以通过转换为美元融资来节省大量财政开支。
{"title":"Covered Interest Rate Parity Deviations in External Emerging Market Sovereign Debt","authors":"Jonathan S. Hartley","doi":"10.3905/jfi.2020.1.080","DOIUrl":"https://doi.org/10.3905/jfi.2020.1.080","url":null,"abstract":"Non-US dollar-denominated external emerging market debt issuance in euros, yen, and sterling has grown substantially in recent years. This article is the first study to explore how non-dollar external emerging market bonds violate covered interest rate parity relative to their dollar-denominated external emerging market debt counterpart bonds for a given country. Such mispricing in the post-Great Recession era creates arbitrage opportunities for investors and suggests that emerging market country policymakers could create fiscal savings by instead issuing external sovereign debt in dollars more cheaply (versus non-dollar developed world currencies like euros, yen, and sterling) and swapping the proceeds to non-dollar currencies with currency forward and spot transactions. Such hypothetical fiscal savings from switching to dollar funding collectively are estimated to be more than $1 billion annually. TOPICS: Fixed income and structured finance, exchanges/markets/clearinghouses, emerging markets Key Findings • This article is the first study to explore how non-dollar external emerging market bonds violate covered interest rate parity relative to their dollar-denominated external emerging market debt counterpart bonds for a given country. • Such mispricing creates investment opportunities and suggests that by instead more cheaply issuing external sovereign debt in dollars (versus non-dollar developed world currencies like euros, yen, and sterling) and swapping the proceeds to non-dollar currencies, emerging market country policymakers could create substantial fiscal savings by switching to dollar funding.","PeriodicalId":53711,"journal":{"name":"Journal of Fixed Income","volume":"29 1","pages":"92 - 99"},"PeriodicalIF":0.0,"publicationDate":"2019-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46944429","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 4
The Key Rate Durations of Municipal Bonds 市政债券的关键利率期限
Pub Date : 2019-08-22 DOI: 10.3905/jfi.2019.1.073
A. Kalotay, Joel Buursma
Effective duration, calculated by parallel shifts of the yield curve, is the standard measure of portfolio-based interest rate risk. Key rate durations, obtained by shifting individual key rates, describe how the risk is distributed along the term structure. Ordinarily the sum of the key rate durations equals the effective duration. However, in the case of tax-exempt municipal bonds the sum and the effective duration may differ. The reason is that the prices of discount munis are tax-affected, and the applicable tax rate depends on the size of the discount. The authors’ result has ramifications for the hedging of muni portfolios, and for the measurement of interest rate risk under the recently introduced SEC N-Port regulation. TOPICS: Risk management, fixed income portfolio management Key Findings • The tax effect on the price of a discount muni depends on the size of the discount (applicable tax rate around 20% if de minimis, 40% if not). • Because bumping individual key rates has smaller effects on price than shifting the entire yield curve, the applicable tax rates may differ. • Consequently key rate durations for munis may not add up to effective duration, creating challenges for portfolio hedging and SEC risk reporting.
通过收益率曲线的平行变化计算的有效期限是衡量基于投资组合的利率风险的标准。通过改变单个关键利率获得的关键利率持续时间描述了风险如何沿着期限结构分布。通常,关键速率持续时间的总和等于有效持续时间。然而,在免税市政债券的情况下,金额和有效期限可能不同。原因是折扣munis的价格受税收影响,适用的税率取决于折扣的大小。作者的研究结果对穆尼投资组合的套期保值以及最近引入的美国证券交易委员会N端口监管下的利率风险衡量产生了影响。主题:风险管理、固定收益投资组合管理关键发现•对折扣货币价格的税收影响取决于折扣的大小(如果是最低税率,适用税率约为20%,如果不是最低税率,则为40%)。•由于提高个别关键税率对价格的影响小于改变整个收益率曲线,因此适用的税率可能有所不同。•因此,munis的关键利率期限可能加起来不等于有效期限,这给投资组合套期保值和美国证券交易委员会风险报告带来了挑战。
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引用次数: 3
How New Bond Issuance Influences the Liquidity of Covered Bonds 新债发行如何影响担保债券的流动性
Pub Date : 2019-08-21 DOI: 10.3905/jfi.2019.1.072
Michael Weigerding
This study shows how primary market supply influences the secondary market liquidity of outstanding bonds. Liquidity is higher around new bond issuance by the same issuer and in the same maturity segment. It rises once the new issue is priced and remains elevated for several days. The effect is mostly attributed to switch trades between old and new bonds. It increases by the volume issued and decreases by the amount of similar paper outstanding. The liquidity surge is positively linked to the new bond’s attractiveness; it is stronger during times of positive market sentiment. TOPICS: Project finance, statistical methods, credit risk management Key Findings • Liquidity is higher around new bond issuance by the same issuer and in the same maturity segment. • The supply-liquidity effect increases by the volume issued and decreases by the amount of similar paper outstanding. • The liquidity surge is positively linked to the new bond's attractiveness, and it is stronger during times of positive market sentiment.
本研究显示一级市场供给如何影响未偿债券的二级市场流动性。同一发行人在同一期限内发行新债券时,流动性较高。一旦新股定价,它就会上升,并在几天内保持在高位。这种影响主要归因于新旧债券之间的转换交易。它随着发行量的增加而增加,随着未发行的类似票据的数量而减少。流动性激增与新债券的吸引力呈正相关;在市场情绪积极的时候,它会更强劲。主题:项目融资,统计方法,信用风险管理主要发现•在同一发行人和同一期限段发行新债券时,流动性更高。•供给流动性效应随着发行量的增加而增加,随着未偿还的类似票据数量的减少而减少。•流动性激增与新债券的吸引力呈正相关,在市场情绪积极的时候,流动性会更强。
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引用次数: 3
Factor Investing in Corporate Bond Markets: Enhancing Efficacy Through Diversification and Purification! 企业债券市场的要素投资:通过多元化和净化来增强效力!
Pub Date : 2019-08-20 DOI: 10.3905/jfi.2019.1.074
T. Heckel, Zine Amghar, Isaac Haik, Olivier Laplénie, Raul Leote de Carvalho
We show that factors from value, quality, low-risk, and momentum styles play an important role in explaining the cross-section of corporate bond expected returns for the US and Euro Investment Grade and US BB-B Nonfinancial High Yield universes. We demonstrate the importance of purifying factor data by neutralizing a number of risk biases that are present in the factors: controlling for sectors, option-adjusted spread, duration, and size biases significantly increase the predictive power of style factors. We propose a new simple approach for efficiently neutralizing the biases from multiple risk variables and demonstrate its superiority relative to stratified sampling and optimization as alternative control methods. We also measure the added value from diversifying the number of factors in each style. Finally, we show that the results are robust in relation to transaction costs and can be used to design strategies that aim at outperforming traditional benchmark indexes. TOPICS: Analysis of individual factors/risk premia, factor-based models, style investing Key Findings • Factors from value, quality, low-risk, and momentum styles play an important role in explaining the cross-section of corporate bond expected returns for the US and Euro Investment Grade and US BB-B Nonfinancial High Yield universes. • The forecasting efficacy of style factors increases significantly if biases such as sectors, option-adjusted spread, duration, and size in the factor data are neutralized. Diversifying the number of factors in each style also significantly improves the forecasting efficacy. • We propose a new simple approach for increasing the forecasting efficacy of style factors by efficiently neutralizing the biases from multiple risk variables. We demonstrate the superiority of this approach over stratified sampling and optimization.
我们表明,价值、质量、低风险和动量风格的因素在解释美国和欧洲投资级和美国BB-B非金融高收益领域公司债券预期回报的横截面方面发挥了重要作用。我们通过中和因素中存在的一些风险偏差来证明净化因素数据的重要性:控制行业,期权调整的价差,持续时间和规模偏差显着增加了风格因素的预测能力。我们提出了一种新的简单方法来有效地中和来自多个风险变量的偏差,并证明了它相对于分层抽样和优化作为替代控制方法的优越性。我们还测量了每种风格中多样化因素数量所带来的附加值。最后,我们证明了结果在交易成本方面是稳健的,并且可以用于设计旨在优于传统基准指数的策略。•来自价值、质量、低风险和动量风格的因素在解释美国和欧洲投资级和美国BB-B非金融高收益领域公司债券预期回报的横截面方面发挥了重要作用。•如果消除因素数据中的行业、期权调整价差、持续时间和规模等偏差,风格因素的预测效果将显著提高。使每种风格的因子数量多样化也显著提高了预测效果。•我们提出了一种新的简单方法,通过有效地中和来自多个风险变量的偏差来提高风格因素的预测效果。我们证明了这种方法优于分层抽样和优化。
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引用次数: 6
期刊
Journal of Fixed Income
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