在系统性公司债券选择策略中整合多种信号

Arik Ben Dor, Stephan Florig
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引用次数: 0

摘要

近年来,随着系统性信贷投资的发展,各种信号层出不穷,有效处理和综合这些数据变得越来越重要。我们讨论了投资者在结合信号形成系统性信贷策略时面临的几个重要考虑因素,强调了不同方法的利弊权衡和陷阱。我们使用基于实际信用信号的例子来证明,仔细关注所提出的问题可以显著提高业绩。
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Integrating Multiple Signals in Systematic Corporate Bond Selection Strategies
With the growth of systematic credit investing in recent years, signals have proliferated, and it is increasingly important to process and synthesize the data effectively. We discuss several important considerations faced by investors when combining signals to form a systematic credit strategy, highlighting the trade-offs and pitfalls of different methods. Using examples based on actual credit signals, we demonstrate that careful attention to the issues raised can enhance performance significantly.
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来源期刊
Journal of Fixed Income
Journal of Fixed Income Economics, Econometrics and Finance-Economics and Econometrics
CiteScore
1.10
自引率
0.00%
发文量
23
期刊介绍: The Journal of Fixed Income (JFI) provides sophisticated analytical research and case studies on bond instruments of all types – investment grade, high-yield, municipals, ABSs and MBSs, and structured products like CDOs and credit derivatives. Industry experts offer detailed models and analysis on fixed income structuring, performance tracking, and risk management. JFI keeps you on the front line of fixed income practices by: •Staying current on the cutting edge of fixed income markets •Managing your bond portfolios more efficiently •Evaluating interest rate strategies and manage interest rate risk •Gaining insights into the risk profile of structured products.
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