Benefits of International Bond Diversification
Title | Benefits of International Bond Diversification PDF eBook |
Author | Delroy M. Hunter |
Publisher | |
Pages | 37 |
Release | 2004 |
Genre | |
ISBN |
This paper assesses the incremental diversification benefits to US investors from investing in international government bonds. In light of suggestions that these benefits have fallen sharply in the recent decade due to more closely synchronized business cycles, we use mean-variance spanning tests to show that currency-hedged bonds provide significant diversification benefits over the period from January 1992 to September 2002. Using a bivariate GARCH framework, we find that US bond returns have become increasingly correlated with UK and German bond returns, but have experienced declining correlations with Japanese bonds. The changing correlations are consistent with variation in the synchronization of business cycles. However, the evidence suggests that correlations have not become high enough to threaten the gains from diversification and that these gains on a currency-hedged basis are not diminished during periods of weakness or increased volatility in US or foreign bond markets. Conditional Sharpe ratios also demonstrate that risk-reward tradeoffs for each bond market vary in a predictable manner, which further underscores the potential benefits of international bond investing. Finally, we demonstrate how conditional yield betas and conditional yield beta adjusted foreign bond durations can be constructed from our model estimates.
International Bond Diversification Strategies; The Impact of Currency, Country, and Credit Risk
Title | International Bond Diversification Strategies; The Impact of Currency, Country, and Credit Risk PDF eBook |
Author | Mats Hansson |
Publisher | |
Pages | 49 |
Release | 2008 |
Genre | |
ISBN |
We investigate the incremental role of emerging market debt and corporate bonds in internationally diversified government bond portfolios. Contrary to earlier results, we find that international diversification among government bonds does not yield significant diversification benefits. This result is obtained using mean-variance spanning and intersection tests, with restrictions for short sales, both for currency unhedged and hedged international developed market government bonds. Currency hedged international corporate bonds in turn do offer some diversification benefits, and emerging market debt in particular significantly shifts the mean-variance frontier for a developed market investor. Since especially unconstrained mean-variance spanning and intersection tests can indicate significant diversification benefits, but lead to frontier portfolios with extreme weights, we also consider some ex-ante global government bond portfolio strategies. We find that passive global benchmarks such as GDP-weighed government bond portfolios perform quite well within developed countries.
Diversification, Original Sin, and International Bond Portfolios
Title | Diversification, Original Sin, and International Bond Portfolios PDF eBook |
Author | John D. Burger |
Publisher | |
Pages | 44 |
Release | 2003 |
Genre | Bond market |
ISBN |
International Bond Diversification
Title | International Bond Diversification PDF eBook |
Author | Brynjolfur Einar Sigmarsson |
Publisher | |
Pages | 112 |
Release | 2009 |
Genre | |
ISBN |
investors generally experience diversification benefits by adding foreign bonds to their domestic bond portfolio. Further, financial integration is found to increase within the largest developed countries. Diversification benefits are most for the last two year of the study period when short sales are allowed, where it is believed that the financial crisis has not fully reach emerging markets and small economies like Denmark.
International Diversification of Investment Portfolios
Title | International Diversification of Investment Portfolios PDF eBook |
Author | Cheol S. Eun |
Publisher | |
Pages | 42 |
Release | 1991 |
Genre | |
ISBN |
Advanced Bond Portfolio Management
Title | Advanced Bond Portfolio Management PDF eBook |
Author | Frank J. Fabozzi |
Publisher | John Wiley & Sons |
Pages | 578 |
Release | 2006-03-08 |
Genre | Business & Economics |
ISBN | 0471785768 |
In order to effectively employ portfolio strategies that can control interest rate risk and/or enhance returns, you must understand the forces that drive bond markets, as well as the valuation and risk management practices of these complex securities. In Advanced Bond Portfolio Management, Frank Fabozzi, Lionel Martellini, and Philippe Priaulet have brought together more than thirty experienced bond market professionals to help you do just that. Divided into six comprehensive parts, Advanced Bond Portfolio Management will guide you through the state-of-the-art techniques used in the analysis of bonds and bond portfolio management. Topics covered include: General background information on fixed-income markets and bond portfolio strategies The design of a strategy benchmark Various aspects of fixed-income modeling that will provide key ingredients in the implementation of an efficient portfolio and risk management process Interest rate risk and credit risk management Risk factors involved in the management of an international bond portfolio Filled with in-depth insight and expert advice, Advanced Bond Portfolio Management is a valuable resource for anyone involved or interested in this important industry.
Bond Investing For Canadians For Dummies
Title | Bond Investing For Canadians For Dummies PDF eBook |
Author | Andrew Dagys |
Publisher | John Wiley & Sons |
Pages | 391 |
Release | 2023-11-21 |
Genre | Business & Economics |
ISBN | 1394216270 |
Expert information and easy-to-follow advice for today’s Canadian bond investors Bond Investing For Canadians For Dummies will show you how to invest in bonds in today’s environment and strengthen and protect your investment portfolio. Bonds are a great choice for anyone looking to make a smart investment that will provide a steady income, and this book is a great choice for anyone ready to get started. With clear, jargon-free guidance on the best reasons to buy various types of bonds and what type of bonds to invest in, you’ll be ready to minimize your investment risks by adding bonds to your portfolio. Let this book, which focuses on the Canadian bond market, teach you to wisely buy and sell your bonds by considering both risks and returns. Find out how to make the right bond investment for you. Identify your investment goals and choose the best investment strategy for you Use Canadian and international bonds to diversify your portfolio and build a safe income stream Learn about the many different types of bonds, including Government of Canada Bonds and treasuries, municipal and provincial bonds, and agency bonds Find out how to buy bonds at the right time, and when to sell Understand the risks and returns on your bonds so you can meet your personal targets Learn about the impact of Canadian taxes on bonds and other fixed-income investments Bond Investing For Canadians For Dummies is perfect for new and experienced investors who want to learn all the ins and outs of the bond market.