Leseprobe
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Systematic Investing in Credit
Lev Dynkin, Albert Desclee, Simon Polbennikov, et al.
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Sozialwissenschaften, Recht, Wirtschaft / Betriebswirtschaft
Beschreibung
The Latest Insights on Systematic Strategies for Investing in Credit Systematic Investing in Credit is the latest book of cutting-edge research in credit markets written by the Quantitative Portfolio Strategy (QPS) Group at Barclays Research. The book starts with empirical evidence that credit, as an asset class, has consistently outperformed a risk-matched combination of equities and Treasuries. A detailed analysis explains the sources of this advantage. Credit portfolio construction was for decades, and often still is, an index-centric process subjecting managers to index rules and constraints. Barclays QPS Group proceeds by discussing the performance cost of these constraints and ways to exploit resulting inefficiencies to outperform indices. Next they present their research on the performance implications of bond portfolio characteristics - both traditional ones such as coupon level and maturity distribution and others that came into focus more recently such as ESG scores. The following part of the book is dedicated to the increasingly popular factor investing in credit. They discuss their original value and momentum models (the latter based on the momentum of the equity of a given issuer) as well as the issuer size factor. They analyze optimal ways of combining the factor signals in a portfolio considering turnover limits and trading costs in a practical implementation. Finally, they focus on the newest trend in credit investing - the applications of equity market data and methodologies in credit portfolio construction. Investors will learn: * How to capitalize on index inefficiencies. * How to analyze implications of portfolio characteristics (ESG, Coupon, Maturity) * How to systematically apply factor investing in credit (Value, Momentum, Size) * How to use equity-related data and methodologies to enhance credit portfolio performance
Kundenbewertungen
Finanz- u. Anlagewesen, Finance & Investments, Investments & Securities, Kapitalanlagen u. Wertpapiere, Investition