期刊
JOURNAL OF PORTFOLIO MANAGEMENT
卷 46, 期 2, 页码 106-120出版社
PAGEANT MEDIA LTD
DOI: 10.3905/jpm.2019.1.119
关键词
-
The continued development of indexes, factor frameworks, and attribution tools in fixed-income markets provides a deeper understanding of manager performance and optimal portfolio construction techniques. In this article, the authors use quarterly holdings data for a broad sample of fixed-income mutual funds to attribute active returns to (1) the returns to static factor exposures, such as a structural tilt to credit spreads; (2) time-varying factor exposures, such as varying duration over the cycle; and (3) individual bond security selection. They find that, although bond funds in aggregate demonstrated positive alpha, a nontrivial amount of their performance was driven by exposure to static factors as opposed to dynamic timing or security selection. The authors illustrate how active portfolio managers can employ index products to more efficiently express factor views and help capture more excess return through reduced costs and frictions.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据