Which risks have been best rewarded? Duration, equity market, and short-dated credit risk.

被引：8

作者：

Ilmanen, A ^{[1
]}

Byrne, R

Gunasekera, H

Minikin, R

机构：

[1] Citigroup, European Rates Trading, London, England

[2] Citigroup, European Fixed Income Strategy, London, England

来源：

JOURNAL OF PORTFOLIO MANAGEMENT | 2004年 / 30卷 / 02期

关键词：

D O I：

10.3905/jpm.2004.319930

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

An empirical study examines the consistency of rewards for bearing various types of risks in U. S. asset markets between 1985 and early 2002. Bearing duration risk and equity market risk was amply rewarded, while bearing long-dated credit risk-buying credit-risky bonds versus governments-realized puny average profits. Bearing short-dated credit risk gave the most consistent profits of all static overweight strategies, with an information ratio near one. Wide break-even spread cushions may be one explanation for the superior reward for risk at short maturities. More fundamentally, market segmentation seems to be the main explanation, because the most consistent profit opportunities involve switching from Treasuries to top-rated non-government bonds.

引用

页码：53 / +

页数：6