Extensive empirical evidence documents relatively consistent if modest predictability in excess
bond returns and excess currency returns. The theory that active investors' ability to add …

Many financial asset measures exhibit a weak continuation tendency. We show that this
tendency is much more pronounced in the run-up to major events such as key macroeconomic …

Bond carry is the expected return on a bond when the yield curve does not change. The
curve carry strategy within each country constructs buckets based on bond maturities on a …

We use 70 years of international data from the major bond markets to examine bond return
predictability through in-sample and out-of-sample tests. Our results reveal economically …

The paper applies momentum-based investment strategies, such as trend and reversal, on
government bond futures. It thereby introduces an innovative yet simple approach to harvest …

Professional Perspectives on Fixed Income Portfolio Management, Volume 4 is a valuable
practitioner-oriented text that addresses the current developments as well as key strategies …

Riding the yield curve, the fixed-income strategy of purchasing a longer-dated security and
selling before maturity, has long been a popular means to achieve excess returns compared …

This comprehensive reference delivers a toolkit for harvesting market rewards from a wide
range of investments. Written by a world-renowned industry expert, the reference discusses …

… 複数国の債券を組み合わせたグローバルなキャリー戦略を対象とする実証研究とし ては,Ilmanen
and Sayood (2002)などが挙げられる.Ilmanen and Sayood (2002)は, 複数の先進国(ドイツ,…

Innerhalb des Asset-Managements haben die Asset-Klassen Aktien und Bonds große
Bedeutung. Die Korrelation der Renditen dieser beider Asset-Klassen ist jedoch weder im Verlauf …