PT  - JOURNAL ARTICLE
AU  - Felix Goltz
AU  - Lionel Martellini
AU  - Volker Ziemann
TI  - Exchange-Traded Fixed-Income Derivatives in Asset Management and Asset-Liability Management
AID  - 10.3905/jfi.2006.640276
DP  - 2006 Jun 30
TA  - The Journal of Fixed Income
PG  - 39--54
VI  - 16
IP  - 1
4099  - https://pm-research.com/content/16/1/39.short
4100  - https://pm-research.com/content/16/1/39.full
AB  - 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