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What is EPPIM8 Paper008 about?

This paper analyzes systematic investment strategies for sovereign fixed income portfolios using carry and term premium signals, tailored for low-risk investors like foreign exchange reserve managers. The findings indicate that term premium strategies yield better excess returns compared to carry strategies, while a combination of both offers diversification benefits. Backtesting results show that a fully hedged setup underperforms compared to an unhedged approach, suggesting that allowing for some exposure

Author

wall apop

Language

EN