TY - JOUR T1 - Crisis-Robust Bond Portfolios JF - The Journal of Fixed Income SP - 57 LP - 70 DO - 10.3905/jfi.2008.712350 VL - 18 IS - 2 AU - Marie Brière AU - Ariane Szafarz Y1 - 2008/09/30 UR - https://pm-research.com/content/18/2/57.abstract N2 - This article defines a “crisis robust” portfolio that satisfies the minimal crisis-to-quiet time volatility ratio. This type of portfolio is less demanding for the investor than a regime-wise asset allocation. Although general, the concept of a crisis-robust portfolio is especially pertinent when applied to the bond market, which offers a flight-to-quality trade-off during crises (all volatilities increase but most correlations decrease). Using three categories of bonds (sovereign, investment-grade corporate, and high-yield corporate) in the U.S. and Eurozone for the 1998–2007 period, we demonstrate the composition of crisis-robust portfolios and discuss the stabilizing role played by low-quality bonds during crises.TOPICS: Fixed-income portfolio management, financial crises and financial market history, volatility measures, developed markets [US, Europe] ER -