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Gains from Active Bond Portfolio Management Strategies

Naomi E Boyd and Jeffrey M Mercer
The Journal of Fixed Income Spring 2010, 19 (4) 73-83; DOI: https://doi.org/10.3905/JFI.2010.19.4.073
Naomi E Boyd
is an assistant professor in the department of finance at West Virginia University, Morgantown, WV, and a consultant in the Office of Chief Economist at the Commodity Futures Trading Commission in Washington, DC.
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  • For correspondence: naomi.boyd@mail.wvu.edu
Jeffrey M Mercer
is the Lubbock Bankers’ Association Professor of Finance in the Rawls College of Business at Texas Tech University in Lubbock, TX.
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  • For correspondence: jeffrey.mercer@ttu.edu
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Abstract

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

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Gains from Active Bond Portfolio Management Strategies
Naomi E Boyd, Jeffrey M Mercer
The Journal of Fixed Income Mar 2010, 19 (4) 73-83; DOI: 10.3905/JFI.2010.19.4.073

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Gains from Active Bond Portfolio Management Strategies
Naomi E Boyd, Jeffrey M Mercer
The Journal of Fixed Income Mar 2010, 19 (4) 73-83; DOI: 10.3905/JFI.2010.19.4.073
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