The predictability of future returns on bond portfolios at daily frequency is investigated using
a large universe of mechanical trading rules that have been popularized in literature on …

Cochrane and Piazzesi [Cochrane, JH, Piazzesi, M., 2005. Bond risk premia. American
Economic Review 95, 138–160] use forward rates to forecast future bond returns. We extend …

We provide detailed descriptions, including over 550 mathematical formulas, for over 150
trading strategies across a host of asset classes (and trading styles). This includes stocks …

This paper examines the conditional time-varying currency betas from five developed
markets and four emerging markets. We employ a modified trivariate BEKK-GARCH-in …

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 …

This paper examines the conditional time-varying currency betas from five developed and
six emerging financial markets with contagion and spillover effects. We employ a trivariate …

Abstract The Capital Asset Pricing Model (CAPM), as introduced by Markowitz (1952),
Sharpe (1964), Lintner (1965), Black (1972) and Mossin (1966), offers powerful and …

We build on the work of Wright and Zhou (2009) who show that the average jump mean in
bond prices can predict excess bond returns, capturing the countercyclical behaviour of risk …

Fisher separation theorem [TE Copeland, JF Weston, K. Shastri, Financial Theory and
Corporate Policy, fourth ed., Addison Wesley, New York, 2005] states that, in a perfect and …

El objetivo de este artículo es desarrollar una metodología cuantitativa de inversión
aplicada a una cartera de renta fija que ajuste dinámicamente la duración de la misma …