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Open Access

Editor’s Letter

Stanley J. Kon
The Journal of Fixed Income Spring 2021, 30 (4) 1; DOI: https://doi.org/10.3905/jfi.2021.30.4.001
Stanley J. Kon
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We begin this issue of The Journal of Fixed Income with three articles on risk estimates for individual bonds and their correlation structure. First, Marielle De Jong and Frank Fabozzi extend the duration times spread risk methodology to estimate a complete set of bond return variance and covariance forecasts. Second, Riccardo Rebonato and Amir El Aouadi explore the relationship of rate volatility with the level of rates, including insights into the role of real rate and inflation rate component volatilities. Third, Bruno Scalzo, Athanasios Konstantinidis, and Danilo Mandic exploit maturity-domain and country-domain covariances to substantially reduce the number of parameters that define the covariance matrix of global returns for portfolio management strategies.

Recently, there has been an emphasis on investments that are consistent with environmental, social and governance (ESG) preferences. In the next article, Martin Fridson, Lu Jiang, Zhiyuan Mei, and Daniel Navaei provide evidence that an ESG high-yield portfolio has not provided significant over- or underperformance. Then, Karyl Leggio, Yoon Shin, and Yuxing Yan examine credit risk models and find that financial firms are less likely to default than non-financial firms and that S&P credit ratings are better predictors of actual defaults on bonds than the Bloomberg model.

In a low-interest-rate environment, the yield to purchasers of commercial annuities is substantially reduced by its fee structure. Joseph Prendergast provides an alternative for the retail investor—a dynamic portfolio strategy among Treasury index ETFs that replicates an annuity.

We hope you enjoy this issue of The Journal of Fixed Income. Your continued support of the Journal is greatly appreciated.

TOPICS: Fixed income and structured finance, fixed-income portfolio management, portfolio theory

Stanley J. Kon

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The Journal of Fixed Income: 30 (4)
The Journal of Fixed Income
Vol. 30, Issue 4
Spring 2021
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Editor’s Letter
Stanley J. Kon
The Journal of Fixed Income Mar 2021, 30 (4) 1; DOI: 10.3905/jfi.2021.30.4.001

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Editor’s Letter
Stanley J. Kon
The Journal of Fixed Income Mar 2021, 30 (4) 1; DOI: 10.3905/jfi.2021.30.4.001
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