Systematic investing in credit
- ISBN: 9781119751281
- Editorial: John Wiley & Sons Limited
- Fecha de la edición: 2021
- Lugar de la edición: Hoboken. Estados Unidos de Norteamérica
- Colección: The Frank J. Fabozzi Series
- Encuadernación: Cartoné
- Medidas: 23 cm
- Nº Pág.: 705
- Idiomas: Inglés
Lev and QPS continue to shed light on the most important questions facing credit investors. This book focuses on their latest cutting-edge research into the appropriate role of credit as an asset class, the dynamics of credit benchmarks, and potential ways to benefit from equity information to construct effective credit portfolios. It is must-read material for all serious credit investors
Part One Investing in Credit vs. Investing in a Combination of Treasuries and Equities
Chapter 1 Can a Combination of Treasuries and Equities Replace Credit in a Portfolio? 3
Part Two Capitalizing on Index Inefficiencies Fallen Angels: Index Liquidation
Chapter 2 Fallen Angels: Characteristics, Performance, and Implications for Investors 81
Chapter 3 Fallen Angels: Capacity, Transaction Costs, and the Bond-CDS Basis 127
Chapter 4 Introducing the Fallen Angel Reversal Scorecard 163
New Issuance: Index Inclusion
Chapter 5 Issuance Dynamics and Performance of Corporate Bonds 191
Chapter 6 The Value of Waiting to Buy: Inclusion-Delay Investment-Grade Corporate Indices 215
Chapter 7 Concessions in Corporate Bond Issuance: Magnitude, Determinants, and Post-Issuance Dynamics 239
Performance Cost of Investment Constraints
Chapter 8 “Try-and-Hold” Credit Investing 265
Chapter 9 Effect of Rating-Based Stop-Loss Rules on Performance 303
Part Three Performance Implications of Portfolio Characteristics
Chapter 10 Coupon Effects in Corporate Bonds: Pricing, Empirical Duration, and Spread Convexity 333
Chapter 11 Maturity Dependence of Corporate Bond Excess Returns 355
Chapter 12 ESG Investing in Credit 369
Part Four Factor Investing in Credit Value Investing
Chapter 13 Relative Value Investing in Credit Using Excess Spread to Peers 413
Chapter 14 Long-Horizon Value Investing in Credit Using Spread per Unit of Debt-to-Earnings Ratio 435
Momentum Investing
Chapter 15 Equity Momentum in Credit 483
Chapter 16 Corporate Sector Timing Using Equity Momentum 515
Size Effect
Chapter 17 Issuer Size Premium in Credit Markets 527
Combining Factor Strategies
Chapter 18 Integrating Systematic Strategies into Credit Portfolio Construction 563
Chapter 19 OneScore: Combining Quantitative and Fundamental Views in Credit 597
Part Five Using Equity-Related Data, Dynamics, and Instruments
Chapter 20 Does the Post-Earnings-Announcement-Drift Extend to Credit Markets? 613
Chapter 21 Equity Short Interest as a Signal for Credit Investing 653
Index 691
