Systematic Investing in Credit

ISBN-13: 9781119751281 / Angielski / Twarda / 2020 / 736 str.

Lev Dynkin; Arik Ben Dor; Albert Desclee

Spis treści

Acknowledgments ixForeword xvPreface xviiIntroduction xixPart One Investing in Credit vs. Investing in a Combination of Treasuries and EquitiesChapter 1 Can a Combination of Treasuries and Equities Replace Credit in a Portfolio? 3Part Two Capitalizing on Index Inefficiencies Fallen Angels: Index LiquidationChapter 2 Fallen Angels: Characteristics, Performance, and Implications for Investors 81Chapter 3 Fallen Angels: Capacity, Transaction Costs, and the Bond-CDS Basis 127Chapter 4 Introducing the Fallen Angel Reversal Scorecard 163New Issuance: Index InclusionChapter 5 Issuance Dynamics and Performance of Corporate Bonds 191Chapter 6 The Value of Waiting to Buy: Inclusion-Delay Investment-Grade Corporate Indices 215Chapter 7 Concessions in Corporate Bond Issuance: Magnitude, Determinants, and Post-Issuance Dynamics 239Performance Cost of Investment ConstraintsChapter 8 "Try-and-Hold" Credit Investing 265Chapter 9 Effect of Rating-Based Stop-Loss Rules on Performance 303Part Three Performance Implications of Portfolio CharacteristicsChapter 10 Coupon Effects in Corporate Bonds: Pricing, Empirical Duration, and Spread Convexity 333Chapter 11 Maturity Dependence of Corporate Bond Excess Returns 355Chapter 12 ESG Investing in Credit 369Part Four Factor Investing in Credit Value InvestingChapter 13 Relative Value Investing in Credit Using Excess Spread to Peers 413Chapter 14 Long-Horizon Value Investing in Credit Using Spread per Unit of Debt-to-Earnings Ratio 435Momentum InvestingChapter 15 Equity Momentum in Credit 483Chapter 16 Corporate Sector Timing Using Equity Momentum 515Size EffectChapter 17 Issuer Size Premium in Credit Markets 527Combining Factor StrategiesChapter 18 Integrating Systematic Strategies into Credit Portfolio Construction 563Chapter 19 OneScore: Combining Quantitative and Fundamental Views in Credit 597Part Five Using Equity-Related Data, Dynamics, and InstrumentsChapter 20 Does the Post-Earnings-Announcement-Drift Extend to Credit Markets? 613Chapter 21 Equity Short Interest as a Signal for Credit Investing 653Index 691

O autorze

ARIK BEN DOR, PHD, is a Managing Director in Barclays QPS and Head of Quantitative Equity Research. He joined QPS in 2004 at Lehman Brothers. Arik oversees research in equities, rates, credit, and hedge funds. Arik co-authored two books and published over a dozen articles in leading industry journals. He is on the editorial boards of the Journal of Portfolio Management and Journal of Fixed Income. Arik holds a PhD in finance from Kellogg School of Management.ALBERT DESCLÉE is a Managing Director in Barclays QPS based in London and is responsible for its European activities. He advises investors on fixed income and multi-asset portfolio construction. Albert joined Barclays in 2008 from Lehman Brothers. Prior to this, he worked at Salomon Brothers in London. Albert graduated from the Catholic University of Louvain (Belgium) and obtained an MBA from INSEAD.LEV DYNKIN, PHD, is the Founder and Head of Quantitative Portfolio Strategy (QPS) Group at Barclays Research. Lev and QPS joined Barclays in 2008 from Lehman Brothers where they had been a part of Global Research since 1987 and helped launch the Lehman fixed income indices. For over a decade, QPS has been top ranked in its category in the Institutional Investor Research survey. Lev and QPS co-authored three books: A Decade of Duration Times Spread (DTS), Barclays, 2015; Quantitative Credit Portfolio Management, Wiley, 2011; and Quantitative Management of Bond Portfolios, Princeton University Press, 2007.JAY HYMAN, PHD, is a Managing Director in Barclays QPS. He advises clients on portfolio management relative to traditional benchmarks or liabilities, risk budgeting, style analysis, cost of constraints, sufficient diversification, and index replication. Jay has co-authored three books with QPS colleagues. He joined Barclays in 2008 from Lehman Brothers where he worked in quantitative research since 1991. Jay holds a PhD in Electrical Engineering from Columbia University.SIMON POLBENNIKOV, PHD, is a Managing Director in Barclays QPS. He is responsible for empirical research of all quantitative aspects of the investment process including systematic strategies and investment styles in fixed income, benchmark customization, tactical allocation, and hedging. Simon joined Barclays in 2008 from Lehman Brothers. Simon holds a PhD in empirical finance from Tilburg University, Netherlands.