Systematic Fixed Income: An Investor's Guide [Hardcover]

Understand the role and potential of fixed income as an asset class

Systematic Fixed Income: An Investors Guide offers readers a powerful, practical, and robust framework for investors and asset managers to preserve the diversifying properties of a fixed income allocation, and add to that unique sources of excess returns via systematic security selection. In other words, this framework allows for efficient capture of fixed income beta and fixed income alpha.

Celebrated finance professional Dr. Scott Richardson presents concrete strategies for identifying the relevant sources of risk and return in public fixed income markets and explains the tactical and strategic roles played by fixed income in typical portfolios. In the book, readers will explore:

• The implementation challenges associated with a systematic fixed income portfolio, including liquidity and risk
• The systematic return sources for rate and credit sensitive fixed income assets in both developed and emerging markets

An essential read for asset managers and institutional investors with a professional interest in fixed income markets, Systematic Fixed Income: An Investors Guide deserves a place in the libraries of advanced degree students of finance, business, and investment, as well as other investment professionals seeking to refine their understanding of the full potential of this foundational asset class.

Preface xiii

Acknowledgments xv

About the Author xvii

Chapter 1 Setting the Stage 1

1.1 What is fixed income? 1

1.2 How big are fixed income markets? 3

1.3 What does it mean to be systematic? 8

1.4 Which fixed income markets will this book focus on? 15

1.5 Commonly used fixl3š