This article shows how to evaluate the performance of managed portfolios using stochastic
discount factors (SDFs) from continuous-time term structure models. These models imply …

Cross-sector volatility spillovers can both threaten the financial stability of credit markets and
the diversification of a credit bond portfolio. In this article, we measure cross-sector volatility …

This paper evaluates the ability of bond funds to" market time" factors related to bond
markets. Timing ability generates nonlinearity in fund returns, but there are several non …

Detailed analysis of the major alternative bond market indexes indicates that the correlations
between all the series are high, while the correlations between corresponding sector …

We evaluate the performance of fixed income mutual funds using stochastic discount factors
motivated by continuous-time term structure models. Time-aggregation of these models for …

Performance regressions lever expected benchmark returns linearly to the risk exposures of
the fund. The interest rate (IR) risk premium, however, usually follows a decreasingly upward …

Die nationalen und intemationalen Kapitalmarkte sind in den letzten zwei Jahr zehnten von
einer deutlich erhohten Zinsvolatilitiit betroffen. Ais Reaktion auf die damit verbundene …

Presently a number of institutional bond funds are" immunizing" a portion of their portfolio.
This article examines the concept of immunization when future liabilities are subject to …

We evaluate the performance of fixed income mutual funds using stochastic discount factors
from continuous-time term structure models. Time-aggregation of the models for discrete …

Over the past several years, a number of studies have been published evaluating bond
portfolio immunization strategies based on the concept of duration." Im-munization is defined …