TY - JOUR T1 - Exchange-Traded Fixed-Income Derivatives in Asset Management and Asset-Liability Management JF - The Journal of Fixed Income SP - 39 LP - 54 DO - 10.3905/jfi.2006.640276 VL - 16 IS - 1 AU - Felix Goltz AU - Lionel Martellini AU - Volker Ziemann Y1 - 2006/06/30 UR - https://pm-research.com/content/16/1/39.abstract N2 - In this article, we examine how standard exchange-traded fixed-income derivatives (futures and options on futures contracts) can be included in a sound risk and asset management process so as to improve risk and return performance characteristics of managed portfolios. Our results show that the non-linear character of the returns on protective option strategies offers appealing risk reduction properties in the pure asset management context. Consequently, such strategies should optimally receive a significant allocation, especially when investors are concerned with minimising extreme risks. In an asset liability management context, we also show that fixed-income derivatives in general, and recently launched long-term futures contracts in particular, offer significant shortfall risk reduction benefits. These results have potentially significant implications in the context of an increased focus on matching liability portfolios.TOPICS: Futures and forward contracts, options ER -