PT  - JOURNAL ARTICLE
AU  - Naomi E Boyd
AU  - Jeffrey M Mercer
TI  - Gains from Active Bond Portfolio Management Strategies
AID  - 10.3905/JFI.2010.19.4.073
DP  - 2010 Mar 31
TA  - The Journal of Fixed Income
PG  - 73--83
VI  - 19
IP  - 4
4099  - https://pm-research.com/content/19/4/73.short
4100  - https://pm-research.com/content/19/4/73.full
AB  - The belief that excess returns can be achieved by correctly timing changes in yields and/or yield spreads motivates active bond portfolio management strategies. Given the rich literature linking yield spread patterns to both the business cycle and changes in short-term interest rates, the authors motivate and demonstrate the efficacy of simple spread-trading strategies tied to both. Using 34 years of fixed income returns, they demonstrate that straightforward rules would have led to superior risk-adjusted performance relative to standard fixed-income benchmarks. Furthermore, the strategies tied to short-maturity interest rates are based on the use of past information only.TOPICS: Fixed-income portfolio management, style investing, information providers/credit ratings, statistical methods