{"title":"Managing against the Lehman Brothers MBS Index:","authors":"","doi":"10.2307/j.ctvw04cxt.30","DOIUrl":"https://doi.org/10.2307/j.ctvw04cxt.30","url":null,"abstract":"","PeriodicalId":280597,"journal":{"name":"Quantitative Management of Bond Portfolios","volume":"64 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-05-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122289057","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}
{"title":"Swap Indices","authors":"","doi":"10.2307/j.ctvw04cxt.20","DOIUrl":"https://doi.org/10.2307/j.ctvw04cxt.20","url":null,"abstract":"","PeriodicalId":280597,"journal":{"name":"Quantitative Management of Bond Portfolios","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-05-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130290669","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}
{"title":"Replicating the Lehman Brothers Global Aggregate Index with Liquid Instruments","authors":"","doi":"10.2307/j.ctvw04cxt.13","DOIUrl":"https://doi.org/10.2307/j.ctvw04cxt.13","url":null,"abstract":"","PeriodicalId":280597,"journal":{"name":"Quantitative Management of Bond Portfolios","volume":"311 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-05-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132290815","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}
{"title":"Evaluating Performance of Long-Horizon Portfolios","authors":"","doi":"10.2307/j.ctvw04cxt.18","DOIUrl":"https://doi.org/10.2307/j.ctvw04cxt.18","url":null,"abstract":"","PeriodicalId":280597,"journal":{"name":"Quantitative Management of Bond Portfolios","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-05-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114942888","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}
{"title":"Optimal Credit Allocation for Buy-and-Hold Investors","authors":"L. Dynkin, Jay Hyman, Bruce D. Phelps","doi":"10.3905/jpm.2004.73","DOIUrl":"https://doi.org/10.3905/jpm.2004.73","url":null,"abstract":"The trade-offs between risk and return are different for buy-and-hold investors and total return investors. For buy-and-hold investors, the portfolio return distribution is asymmetric; the maximum return is the yield, and the maximum loss is represented by default. The standard tools that total return investors use for top-down asset allocation (such as mean-variance optimization) and bottom-up security selection (such as multifactor risk models) are thus inappropriate. A more suitable approach for buy-and-hold investors, given current spreads, default rates and correlations, and loss tolerance, derives an optimal macro allocation across credit qualities. Application of this approach yields an optimized portfolio to minimize expected shortfall due to defaults, subject to a spread target and other portfolio constraints. The results suggest buy-and-hold investors should first determine their allocations to the A and Baa sectors, and then use an optimizer to select individual names.","PeriodicalId":280597,"journal":{"name":"Quantitative Management of Bond Portfolios","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132866039","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}
{"title":"Sufficient Diversification in Credit Portfolios","authors":"L. Dynkin, Jay Hyman, Vadim Konstantinovsky","doi":"10.3905/jpm.2002.319867","DOIUrl":"https://doi.org/10.3905/jpm.2002.319867","url":null,"abstract":"How much diversification is required in an investment-grade credit portfolio to achieve a desired level of risk relative to a broad credit benchmark? Two approaches to optimal portfolio structuring address this fundamental question from different viewpoints. The first seeks to minimize the risk of underperforming a benchmark because of idiosyncratic credit events; the second explores the diversification levels that maximize the information ratio (risk-adjusted outperformance of the benchmark). This study focuses on the impact of rating downgrades on security returns relative to peer groups. Data on the Lehman Brothers Credit Index as well as transition probabilities published by the rating agencies underlie a methodology for estimating portfolio downgrade risk and the optimal diversification levels. Simple models of the value of credit research help the reader analyze the trade-off between increased diversification and diminished performance.","PeriodicalId":280597,"journal":{"name":"Quantitative Management of Bond Portfolios","volume":"4 2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-10-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122804515","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}
L. Dynkin, P. Ferket, Jay Hyman, Erik P. van Leeuwen, Wei Wu
{"title":"Value of Security Selection versus Asset Allocation in Credit Markets","authors":"L. Dynkin, P. Ferket, Jay Hyman, Erik P. van Leeuwen, Wei Wu","doi":"10.3905/jpm.1999.319759","DOIUrl":"https://doi.org/10.3905/jpm.1999.319759","url":null,"abstract":"In this article, the authors quantify the relative merits of different styles of credit investing in a limiting ideal case. For portfolios of credit spread securities managed relative to fixed-income benchmarks, they investigate the value added by security selection and various asset allocation strategies based on “perfect foresight.” In conducting their historical study, they rely on the simulation of such strategies using data for the Lehman Brothers U.S. High Grade Corporate Index. Simulations of given strategy are matched to the index in every dimension but one. The success of each strategy is evaluated on the basis of the “information ratio” a ratio of the strategy's outperformance of the index to the standard deviation of such outperformance. The author's findings suggest that security selection with “perfect foresight” in a corporate bond portfolio is the single most effective way to generate steady outperformance of the index. This applies to both the “select winners” and the “avoid losers” cases. Yield curve timing, sector rotations, and credit rating selections may deliver more outperformance, but with higher variance. Results obtained in this study may be used to justify selection of bottom-up versus top-down portfolio management styles and allocation of research efforts and risk budgets.","PeriodicalId":280597,"journal":{"name":"Quantitative Management of Bond Portfolios","volume":"2010 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1999-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128906116","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}
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