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Systematic Fixed Income by Richardson, Scott A.; is a book available to read on EtoBox.

What is Systematic Fixed Income about?

Cover 1 Title Page 7 Copyright 8 Contents 11 Preface 15 Acknowledgments 17 About the Author 19 Chapter 1 Setting the Stage 21 Overview 21 1.1 What is Fixed Income? 21 1.2 How Big are Fixed Income Markets? 23 1.3 What Does it Mean to be Systematic? 28 1.4 Which Fixed Income Markets will this Book Focus On? 35 1.5 Commonly Used Fixed Income Analytics 37 1.6 Other Fixed Income Considerations 44 1.6.1 Currency and Hedging 45 1.6.2 Home Bias 45 1.6.3 Active Share 47 References 48 CHAPTER 2 Fixed Income – Strategic Asset Allocation 49 Overview 49 2.1 What are the Key Drivers of Fixed Income Security Returns? 49 2.2 What Traditional Risk Premia can be Harvested in Fixed Income? 56 2.2.1 Term Premium (and Yields) 58 2.2.2 Credit Premium 63 2.2.3 Prepayment/Complexity/Volatility Premium 65 2.3 The Strategic Diversification Benefit of Fixed Income 70 2.4 Is The Strategic Diversification Benefit of Fixed Income Threatened in a Low‐Interest‐Rate Environment? 74 References 75 CHAPTER 3 Fixed Income – Tactical Asset Allocation 77 Overview 77 3.1 Market Timing – Term Premium 77 3.1.1 Framework for Timing 77 3.1.2 Data (Some Details) 80 3.1.3 Converting Raw Data to Signals 81 3.1.4 Scatter Plots 8

Author

Richardson, Scott A.;

Language

EN