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The Performance Of Investment Grade Corporate Bond Funds
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Book Synopsis Swing Pricing and Fragility in Open-end Mutual Funds by : Dunhong Jin
Download or read book Swing Pricing and Fragility in Open-end Mutual Funds written by Dunhong Jin and published by International Monetary Fund. This book was released on 2019-11-01 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: How to prevent runs on open-end mutual funds? In recent years, markets have observed an innovation that changed the way open-end funds are priced. Alternative pricing rules (known as swing pricing) adjust funds’ net asset values to pass on funds’ trading costs to transacting shareholders. Using unique data on investor transactions in U.K. corporate bond funds, we show that swing pricing eliminates the first-mover advantage arising from the traditional pricing rule and significantly reduces redemptions during stress periods. The positive impact of alternative pricing rules on fund flows reverses in calm periods when costs associated with higher tracking error dominate the pricing effect.
Download or read book The Mexican Securities Market written by and published by . This book was released on 199? with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Local Currency Bond Markets - A Diagnostic Framework by : World Bank
Download or read book Local Currency Bond Markets - A Diagnostic Framework written by World Bank and published by International Monetary Fund. This book was released on 2013-07-09 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: In November 2011, the G-20 endorsed an action plan to support the development of local currency bond markets (LCBM). International institutions—the IMF, the World Bank, the EBRD, and the OECD—were asked to draw on their experience to develop a diagnostic framework (DF) to identify general preconditions, key components, and constraints for successful LCBM development. The objective is to provide a tool for analyzing the state of development and efficiency of local currency bond markets. The application of the DF is expected to be flexible, bearing in mind that the potential for LCBM development depends on economic size, financing needs, and stage of economic development.
Download or read book PFICs written by Kimberly S. Blanchard and published by . This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: ... discusses the passive foreign investment company (PFIC) provisions. These provisions attempt to deny the benefit of tax deferral to U.S. persons who invest in PFICs, i.e., foreign corporations that generate primarily passive income but whose investors are not subject to the anti-deferral rules for controlled foreign corporations (CFCs).
Book Synopsis The Only Guide to a Winning Bond Strategy You'll Ever Need by : Larry E. Swedroe
Download or read book The Only Guide to a Winning Bond Strategy You'll Ever Need written by Larry E. Swedroe and published by Truman Talley Books. This book was released on 2007-04-01 with total page 273 pages. Available in PDF, EPUB and Kindle. Book excerpt: Larry Swedroe, the author of The Only Guide to a Winning Investment Strategy You'll Ever Need, has collaborated with Joe H. Hempen to create an up-to-date book on how to invest in today's bond market that covers a range of issues pertinent to any bond investor today including: bond-speak, the risks of fixed income investing, mortgage-backed securities, and municipal bonds. The Only Guide to a Winning Bond Strategy You'll Ever Need is a no-nonsense handbook with all the information necessary to design and construct your fixed income portfolio. In this day and age of shaky stocks and economic unpredictability, The Only Guide to a Winning Bond Strategy You'll Ever Need is a crucial tool for any investor looking to safeguard their money.
Book Synopsis Systematic Investing in Credit by : Arik Ben Dor
Download or read book Systematic Investing in Credit written by Arik Ben Dor and published by John Wiley & Sons. This book was released on 2020-12-10 with total page 742 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for SYSTEMATIC INVESTING in CREDIT "Lev and QPS continue to shed light on the most important questions facing credit investors. This book focuses on their latest cutting-edge research into the appropriate role of credit as an asset class, the dynamics of credit benchmarks, and potential ways to benefit from equity information to construct effective credit portfolios. It is must-read material for all serious credit investors." —Richard Donick, President and Chief Risk Officer, DCI, LLC, USA "Lev Dynkin and his team continue to spoil us; this book is yet another example of intuitive, insightful, and pertinent research, which builds on the team's previous research. As such, the relationship with this team is one of the best lifetime learning experiences I have had." —Eduard van Gelderen, Chief Investment Officer, Public Sector Pension Investment Board, Canada "The rise of a systematic approach in credit is a logical extension of the market's evolution and long overdue. Barclays QPS team does a great job of presenting its latest research in a practical manner." —David Horowitz, Chief Executive Officer and Chief Investment Officer, Agilon Capital, USA "Systematization reduces human biases and wasteful reinventing of past solutions. It improves the chances of investing success. This book, by a team of experts, shows you the way. You will gain insights into the advanced methodologies of combining fundamental and market data. I recommend this book for all credit investors." —Lim Chow Kiat, Chief Executive Officer, GIC Asset Management, Singapore "For nearly two decades, QPS conducted extensive and sound research to help investors meet industry challenges. The proprietary research in this volume gives a global overview of cutting-edge developments in alpha generation for credit investors, from signal extraction and ESG considerations to portfolio implementation. The book blazes a trail for enhanced risk adjusted returns by exploring the cross-asset relation between stocks and bonds and adding relevant information for credit portfolio construction. Our core belief at Ostrum AM, is that a robust quantamental approach, yields superior investment outcomes. Indeed, this book is a valuable read for the savvy investor." —Ibrahima Kobar, CFA, Global Chief Investment Officer, Ostrum AM, France "This book offers a highly engaging account of the current work by the Barclays QPS Group. It is a fascinating mix of original ideas, rigorous analytical techniques, and fundamental insights informed by a long history of frontline work in this area. This is a must-read from the long-time leaders in the field." —Professor Leonid Kogan, Nippon Telephone and Telegraph Professor of Management and Finance, MIT "This book provides corporate bond portfolio managers with an abundance of relevant, comprehensive, data-driven research for the implementation of superior investment performance strategies." —Professor Stanley J. Kon, Editor, Journal of Fixed income "This book is a treasure trove for both pension investors and trustees seeking to improve performance through credit. It provides a wealth of empirical evidence to guide long-term allocation to credit, optimize portfolio construction and harvest returns from systematic credit factors. By extending their research to ESG ratings, the authors also provide timely insights in the expanding field of sustainable finance." —Eloy Lindeijer, former Chief of Investment Management, PGGM, Netherlands "Over more than a decade, Lev Dynkin and his QPS team has provided me and APG with numerous innovative insights in credit markets. Their work gave us valuable quantitative substantiation of some of our investment beliefs. This book covers new and under-researched areas of our markets, like ESG and factor investing, next to the rigorous and practical work akin to the earlier work of the group. I'd say read this book—and learn from one of the best." —Herman Slooijer, Managing Director, Head of Fixed Income, APG Asset Management, Netherlands
Book Synopsis A Wealth of Common Sense by : Ben Carlson
Download or read book A Wealth of Common Sense written by Ben Carlson and published by John Wiley & Sons. This book was released on 2015-06-22 with total page 231 pages. Available in PDF, EPUB and Kindle. Book excerpt: A simple guide to a smarter strategy for the individual investor A Wealth of Common Sense sheds a refreshing light on investing, and shows you how a simplicity-based framework can lead to better investment decisions. The financial market is a complex system, but that doesn't mean it requires a complex strategy; in fact, this false premise is the driving force behind many investors' market "mistakes." Information is important, but understanding and perspective are the keys to better decision-making. This book describes the proper way to view the markets and your portfolio, and show you the simple strategies that make investing more profitable, less confusing, and less time-consuming. Without the burden of short-term performance benchmarks, individual investors have the advantage of focusing on the long view, and the freedom to construct the kind of portfolio that will serve their investment goals best. This book proves how complex strategies essentially waste these advantages, and provides an alternative game plan for those ready to simplify. Complexity is often used as a mechanism for talking investors into unnecessary purchases, when all most need is a deeper understanding of conventional options. This book explains which issues you actually should pay attention to, and which ones are simply used for an illusion of intelligence and control. Keep up with—or beat—professional money managers Exploit stock market volatility to your utmost advantage Learn where advisors and consultants fit into smart strategy Build a portfolio that makes sense for your particular situation You don't have to outsmart the market if you can simply outperform it. Cut through the confusion and noise and focus on what actually matters. A Wealth of Common Sense clears the air, and gives you the insight you need to become a smarter, more successful investor.
Book Synopsis On Swing Pricing and Systemic Risk Mitigation by : Sheheryar Malik
Download or read book On Swing Pricing and Systemic Risk Mitigation written by Sheheryar Malik and published by International Monetary Fund. This book was released on 2017-07-18 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: Swing pricing allows a fund manager to transfer to redeeming or subscribing investors the costs associated with their trading activity, thus potentially discouraging large flows. This liquidity management tool, which is already used in major jurisdictions, may also help mitigate systemic risk. Here we develop and apply a methodology to investigate whether swing pricing does in fact help dampen flows out of funds, especially during periods of market stress. Drawing on evidence of first-mover advantage within a group of ‘swinging’ corporate bond funds, we provide policy considerations for enhancing the tool’s effectiveness as a systemic risk mitigant.
Book Synopsis Slow Moving Capital by : Mark Mitchell
Download or read book Slow Moving Capital written by Mark Mitchell and published by . This book was released on 2007 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study three cases in which specialized arbitrageurs lost significant amounts of capital and, as a result, became liquidity demanders rather than providers. The effects on security markets were large and persistent: Prices dropped relative to fundamentals and the rebound took months. While multi-strategy hedge funds who were not capital constrained increased their positions, a large fraction of these funds actually acted as net sellers consistent with the view that information barriers within a firm (not just relative to outside investors) can lead to capital constraints for trading desks with mark-to-market losses. Our findings suggest that real world frictions impede arbitrage capital.
Book Synopsis The Gone Fishin' Portfolio by : Alexander Green
Download or read book The Gone Fishin' Portfolio written by Alexander Green and published by John Wiley & Sons. This book was released on 2008-09-16 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: A timeless investment guide that reveals how to consistently earn market-beating returns while reducing risk What every investor needs is a battle-tested strategy that embraces the uncertainty of financial markets-and life in general. One that will yield market-beating portfolio returns in both good times and bad. The Gone Fishin' Portfolio shows you what that strategy is, how it works, and why you should begin using it immediately. The innovative approach outlined throughout these pages will help investors enjoy a notably high probability of success by using an investment strategy based on the notion that nobody knows what the market is likely to do next, which, in effect, allows investors to capitalize on uncertainty. Details one of the safest and simplest ways to reach your long-term financial goals, and explores the financial and psychological challenges you're likely to face in the years ahead The "Gone Fishin' Portfolio" is based on a Nobel Prize-winning investment strategy that takes just twenty minutes to implement Discusses the relationship between risk and reward in financial markets, and reveals how the investment industry really works The Gone Fishin' Portfolio will allow you to reach your most important investment goals, beat Wall Street at its own game, and achieve the financial independence you deserve.
Download or read book Asset Pricing written by John H. Cochrane and published by Princeton University Press. This book was released on 2009-04-11 with total page 552 pages. Available in PDF, EPUB and Kindle. Book excerpt: Winner of the prestigious Paul A. Samuelson Award for scholarly writing on lifelong financial security, John Cochrane's Asset Pricing now appears in a revised edition that unifies and brings the science of asset pricing up to date for advanced students and professionals. Cochrane traces the pricing of all assets back to a single idea—price equals expected discounted payoff—that captures the macro-economic risks underlying each security's value. By using a single, stochastic discount factor rather than a separate set of tricks for each asset class, Cochrane builds a unified account of modern asset pricing. He presents applications to stocks, bonds, and options. Each model—consumption based, CAPM, multifactor, term structure, and option pricing—is derived as a different specification of the discounted factor. The discount factor framework also leads to a state-space geometry for mean-variance frontiers and asset pricing models. It puts payoffs in different states of nature on the axes rather than mean and variance of return, leading to a new and conveniently linear geometrical representation of asset pricing ideas. Cochrane approaches empirical work with the Generalized Method of Moments, which studies sample average prices and discounted payoffs to determine whether price does equal expected discounted payoff. He translates between the discount factor, GMM, and state-space language and the beta, mean-variance, and regression language common in empirical work and earlier theory. The book also includes a review of recent empirical work on return predictability, value and other puzzles in the cross section, and equity premium puzzles and their resolution. Written to be a summary for academics and professionals as well as a textbook, this book condenses and advances recent scholarship in financial economics.
Book Synopsis The Behavior of Fixed-income Funds during COVID-19 Market Turmoil by : Mr.Frank Hespeler
Download or read book The Behavior of Fixed-income Funds during COVID-19 Market Turmoil written by Mr.Frank Hespeler and published by International Monetary Fund. This book was released on 2020-12-14 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: This note analyzes the stress experienced (and caused) by open-end mutual funds during the March COVID-19 stress episode, with a focus on global fixed-income funds. In light of increased valuation uncertainty, funds experienced a short period of intense withdrawals while the market liquidity of their holdings deteriorated substantially. To cover redemptions, afflicted funds predominantly shed liquid assets first—for example, cash, cash equivalents, and US Treasury securities. But forced asset sales amplified price pressures in markets and contributed to liquidity falling across fixed-income markets. This drop in market liquidity, as well as the general stress in financial markets, may have led to fund investors becoming even more sensitive to challenging portfolio performance and encouraged further withdrawals. Only after central banks intervened, directly and indirectly supporting asset managers, did liquidity and redemption stress subside. Overall, the March episode validated the financial-stability concerns about liquidity vulnerabilities in the fund industry and calls for further action to address them.
Book Synopsis ETFs and Systemic Risks by : Ayan Bhattacharya
Download or read book ETFs and Systemic Risks written by Ayan Bhattacharya and published by CFA Institute Research Foundation. This book was released on 2020-01-22 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: Exchange-traded funds (ETFs) revolutionized asset markets by using an innovative structure to make investing in a wide variety of asset classes simpler and cheaper. With their growing importance has come increasing concern that these products pose new risks to market stability and performance. This paper examines whether ETFs affect systemic risks in financial markets and, if they do, what the mechanism is by which this impact occurs and what can be done to keep the risks under control. We review current research and empirical evidence on these issues and discuss some emerging risks in ETFs. We ask whether we have the right “rules of the road” to deal with the new drivers of market behavior.
Book Synopsis Corporate Bond Quality and Investor Experience by : Walter Braddock Hickman
Download or read book Corporate Bond Quality and Investor Experience written by Walter Braddock Hickman and published by . This book was released on 1958-05-21 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The Description for this book, Corporate Bond Quality and Investor Experience, will be forthcoming.
Book Synopsis Debt Markets and Investments by : H. Kent Baker
Download or read book Debt Markets and Investments written by H. Kent Baker and published by Oxford University Press. This book was released on 2019-08-08 with total page 833 pages. Available in PDF, EPUB and Kindle. Book excerpt: Debt Markets and Investments provides an overview of the dynamic world of markets, products, valuation, and analysis of fixed income and related securities. Experts in the field, practitioners and academics, offer both diverse and in-depth insights into basic concepts and their application to increasingly intricate and real-world situations. This volume spans the entire spectrum from theoretical to practical, while attempting to offer a useful balance of detailed and user-friendly coverage. The volume begins with the basics of debt markets and investments, including basic bond terminology and market sectors. Among the topics covered are the relationship between fixed income and other asset classes as well as the differences in fundamental risk. Particular emphasis is given to interest rate risk as well as credit risks as well as those associated with inflation, liquidity, reinvestment, and ESG. Authors then turn to market sectors, including government debt, municipal bonds, the markets for corporate bonds, and developments in securitized debt markets along with derivatives and private debt markets. The third section focuses on models of yield curves, interest rates, and swaps, including opportunities for arbitrage. The next two sections focus on bond and securitized products, from sovereign debt and mutual funds focused on bonds to how securitization has increased liquidity through such innovations as mortgaged-and asset- backed securities, as well as collateralized debt-, bond-, and loan obligations. Authors next discuss various methods of valuation of bonds and securities, including the use of options and derivatives. The volume concludes with discussions of how debt can play a role in financial strategies and portfolio creation. Readers interested in a broad survey will benefit as will those looking for more in-depth presentations of specific areas within this field of study. In summary, the book provides a fresh look at this intriguing and dynamic but often complex subject.
Book Synopsis Triumph of the Optimists by : Elroy Dimson
Download or read book Triumph of the Optimists written by Elroy Dimson and published by Princeton University Press. This book was released on 2002-02-03 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investors have too often extrapolated from recent experience. In the 1950s, who but the most rampant optimist would have dreamt that over the next fifty years the real return on equities would be 9% per year? Yet this is what happened in the U.S. stock market. The optimists triumphed. However, as Don Marquis observed, an optimist is someone who never had much experience. The authors of this book extend our experience across regions and across time. They present a comprehensive and consistent analysis of investment returns for equities, bonds, bills, currencies and inflation, spanning sixteen countries, from the end of the nineteenth century to the beginning of the twenty-first. This is achieved in a clear and simple way, with over 130 color diagrams that make comparison easy. Crucially, the authors analyze total returns, including reinvested income. They show that some historical indexes overstate long-term performance because they are contaminated by survivorship bias and that long-term stock returns are in most countries seriously overestimated, due to a focus on periods that with hindsight are known to have been successful. The book also provides the first comprehensive evidence on the long-term equity risk premium--the reward for bearing the risk of common stocks. The authors reveal whether the United States and United Kingdom have had unusually high stock market returns compared to other countries. The book covers the U.S., the U.K., Japan, France, Germany, Canada, Italy, Spain, Switzerland, Australia, the Netherlands, Sweden, Belgium, Ireland, Denmark, and South Africa. Triumph of the Optimists is required reading for investment professionals, financial economists, and investors. It will be the definitive reference in the field and consulted for years to come.
Author :International Monetary Fund. Monetary and Capital Markets Department Publisher :INTERNATIONAL MONETARY FUND ISBN 13 :9781513554228 Total Pages :118 pages Book Rating :4.5/5 (542 download)
Book Synopsis Global Financial Stability Report, October 2020 by : International Monetary Fund. Monetary and Capital Markets Department
Download or read book Global Financial Stability Report, October 2020 written by International Monetary Fund. Monetary and Capital Markets Department and published by INTERNATIONAL MONETARY FUND. This book was released on 2020-10-23 with total page 118 pages. Available in PDF, EPUB and Kindle. Book excerpt: Near-term global financial stability risks have been contained as an unprecedented policy response to the coronavirus (COVID-19) pandemic has helped avert a financial meltdown and maintain the flow of credit to the economy. For the first time, many emerging market central banks have launched asset purchase programs to support the smooth functioning of financial markets and the overall economy. But the outlook remains highly uncertain, and vulnerabilities are rising, representing potential headwinds to recovery. The report presents an assessment of the real-financial disconnect, as well as forward-looking analysis of nonfinancial firms, banks, and emerging market capital flows. After the outbreak, firms’ cash flows were adversely affected as economic activity declined sharply. More vulnerable firms—those with weaker solvency and liquidity positions and smaller size—experienced greater financial stress than their peers in the early stages of the crisis. As the crisis unfolds, corporate liquidity pressures may morph into insolvencies, especially if the recovery is delayed. Small and medium-sized enterprises (SMEs) are more vulnerable than large firms with access to capital markets. Although the global banking system is well capitalized, some banking systems may experience capital shortfalls in an adverse scenario, even with the currently deployed policy measures. The report also assesses the pandemic’s impact on firms’ environmental performance to gauge the extent to which the crisis may result in a reversal of the gains posted in recent years.
