TY - JOUR T1 - A Bond-Picking Model for Corporate Bond Allocation JF - The Journal of Portfolio Management SP - 131 LP - 139 DO - 10.3905/jpm.2010.36.3.131 VL - 36 IS - 3 AU - Mathieu L’Hoir AU - Mustafa Boulhabel Y1 - 2010/04/30 UR - https://pm-research.com/content/36/3/131.abstract N2 - An active investment process in corporate bonds requires an approach that explicitly takes into account the diversification benefits that can be derived from a combination of alpha signals.The main challenge is to find indicators that fulfill at least two conditions.First, each individual alpha signal should achieve consistent performance on a univariate basis, and second, each should exhibit relatively low performance correlation because low correlation is a necessary condition for generating a diversification effect.L’Hoir and Boulhabel show that the combination of three types of signals—valuation signals, equity return signals, and earning momentum signals—fulfills the aforementioned conditions and delivers consistent and stable risk-adjusted returns. The authors present the results of their study for the U.K. corporate bond market.TOPICS: Manager selection, options ER -