Tag Archives: Fixed Income

Does Risk Parity Maximize Risk-adjusted Returns?

While it is well known that risk parity strategies typically allocate more weight or apply leverage to asset classes with lower risk, it is not well understood how higher volatility affects the Sharpe ratios exhibited by the assets that get over- or under- weighted.  We find that in practice the strategy increases an asset’s weight […]

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Standard Life GARS Fund: MPI’s Factor X-ray

The £27bn Standard Life Global Absolute Return Fund (SLI GARS) has been renowned as a leading absolute return UCITS/mutual fund since its inception in 2008. However, recently its performance reversed from the peak reached in April of 2015. Using SLI GARS’ weekly performance data, we demonstrate how sophisticated factor analysis techniques can provide valuable insights […]

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Examining the Core: Intermediate-Term Bond Funds in August

The month of August was almost universally tough for financial markets. Equity, Commodity and Fixed income markets fell, dragging most managers with them. Intermediate-Term Bond Funds, one of Morningstar’s largest categories, were not immune to this turmoil, with 221 of 235 funds posting losses. The median loss for the category was -0.25%, with the Barclays US. Aggregate Bond […]

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Examining Recent Winners and Losers in the Nontraditional Bond Fund Category

The recent investment climate has been a challenging one for nontraditional bond funds, strategies that generally trade rate risk for credit risk. Confounding the chorus calling for the end of the 35-year bond bull market, U.S. Treasurys have rallied, credit spreads have widened and emerging market debt has faced heavy selling pressure. Due to market […]

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PTTRX: When is a switch a switch?

With Bill Gross’ surprise departure from Pimco, many investors are looking more closely at the behavior of Pimco Total Return in relation to its peers. Investors and consultants reviewing the new team and near-term performance will be making decisions in the next weeks and months that could have considerable impacts for the future of fixed […]

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The Taper at the Beach: Pimco, the Fed and a Quantitative Approach to the World’s Largest Bond Fund

In the WSJ’s February 24th exposé of the turmoil at the helm of Pimco, we saw a curious bit about tension at “the Beach” increasing in the summer of 2013. During this period, according to the Journal, conflict between then co-CIOs Bill Gross and Mohamed E-Erian became apparent to staff, and Gross restricted trading at […]

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