By Daniel J. Fuss, Brian E. Hersey, Jae Park, Ronald Layard-Liesching, Lee R. Thomas III, Scott F. Richard, Barry Coffman, Ismail Dalla, Kenneth Windheim, James Grant
Core-plus fixed-income management-a technique of expanding allocations to prolonged nonbenchmark sectors as a way to in achieving extra return-offers managers and consumers the potential for extra returns regardless of an more and more effective U.S. bond industry. to check the list of core-plus and deal with the various concerns linked to it, this complaints attracts at the adventure and insights of 10 revered funding execs. The authors study core-plus, and review the results and clients of this hugely dynamic process.
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Additional info for Core-Plus Bond Management
Payoff to optionality under future interest rate and volatility scenarios is extremely complicated to measure, even with the latest supercomputers. Thus, this difficulty presents a substantial barrier to some investors. For example, the evaluation of optionality in the mortgage index itself can currently take several hours to calculate (because of all the individual securities with their myriad payoff possibilities under different interest rate scenarios). As technology improves, however, the time to calculate a bond’s optionality will diminish and this barrier will fall.
The manager’s information ratio should remain the same despite the benchmark shift, even if the manager has no skill in stock market timing or stock selection. 5 because the manager can benchmark the active cash portfolio against the S&P 500 and have the same active return and the same active risk as before. Portable Alpha in PIMCO’s StocksPLUS. Portable alpha is not merely a theoretical concept. PIMCO has a product called StocksPLUS that uses portable alpha as the portfolio’s primary strategy, with the S&P 500 as the benchmark.
But the competitive pressure is rising, primarily because the bond market is incredibly information rich. Panel A of Figure 1 shows that over the past 15 years, bond managers have successfully earned incremental returns for their clients. Panel B indicates that in the past seven years, however, the return per unit of risk has declined. Thus, fixed-income managers must move beyond a domestic arena to find alpha for their clients. Global Opportunity and Diversification In addition to the widely accepted benefits associated with diversification, five major currents are swiftly sweeping fixed-income investors into a global sea in the search for higher alpha.
Core-Plus Bond Management by Daniel J. Fuss, Brian E. Hersey, Jae Park, Ronald Layard-Liesching, Lee R. Thomas III, Scott F. Richard, Barry Coffman, Ismail Dalla, Kenneth Windheim, James Grant