Crisis-Robust Bond Portfolios

Brière, Marie; Szafarz, Ariane

doi:10.3905/jfi.2008.712350

Cited by 21 publications

(17 citation statements)

References 42 publications

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“…Government bonds (both nominal and inflation-linked), corporate investment grade, high yield, emerging, mortgages, etc. show significant diversification potential (Brière and Szafarz, 2008;Brière and Signori, 2009). Pension funds can also exploit time variation in the bond risk premia (Koijen et al, 2010).…”

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Rehabilitating the role of active management for pension funds

Aglietta

Brière

Rigot

et al. 2012

Journal of Banking & Finance

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Pension fund returns can be decomposed into different sources, including market movements, asset allocation policy, and active portfolio management. We use a unique database covering the asset allocations of US defined-benefit pension funds for the period 1990-2008, and we test the role of each factor in explaining their returns. Our results shed new light on pension funds' sources of performance. While the previous literature emphasized that policy allocation accounts for the bulk of returns, leaving little room for active management, we show that taking explicit account of market movement can change the results significantly. Although active management plays a minor role in global asset allocation, its role is predominant in explaining returns to individual asset classes, whether traditional or alternative. This paper rehabilitates the contribution of active management as a source of performance for pension funds, at least at the asset class level. AbstractPension fund returns can be decomposed into different sources, including market movements, asset allocation policy, and active portfolio management. We use a unique database covering the asset allocations of US defined-benefit pension funds for the period 1990-2008, and we test the role of each factor in explaining their returns. Our results shed new light on pension funds' sources of performance. While the previous literature emphasized that policy allocation accounts for the bulk of returns, leaving little room for active management, we show that taking explicit account of market movement can change the results significantly.Although active management plays a minor role in global asset allocation, its role is predominant in explaining returns to individual asset classes, whether traditional or alternative. This paper rehabilitates the contribution of active management as a source of performance for pension funds, at least at the asset class level.

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confidence: 99%

Rehabilitating the role of active management for pension funds

Aglietta

Brière

Rigot

et al. 2012

Journal of Banking & Finance

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“…In this respect, one promising avenue for research is the way sector-specific and/or country-specific investments could help robustify global portfolios (Brière and Szafarz, 2008;Brière et al, 2010). For this, adequate sector delineation is a prerequisite.…”

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confidence: 99%

Investment in Microfinance Equity: Risk, Return, and Diversification Benefits

Briere,

Szafarz

2012

SSRN Journal

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This paper draws a global picture of worldwide microfinance equity. Taking full advantage of daily quoted prices of microfinance stocks from their issuance, we construct microfinance country equity indices and an international global microfinance index. We analyze changes in these indices, assessed in reference to comparable indices for the financial sector and also to national indices. Our findings show that microfinance has been closely correlated with the financial sector since 2003. In terms of risk exposure, estimates of the Capital Asset Pricing Model demonstrate that microfinance shares exhibit higher market beta than those of conventional financial institutions and have equivalent currency exposure.JEL Classifications: G11, G15, O16, C58, G21

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“…Overall, Briere and Szafarz (2008) found that junk bond returns are inferior to investment-grade bond returns in the long run and evidence that the standard deviation of high-yield bond returns is lower than the standard deviation of investment-grade bond returns in the long-term horizon. Zivney et al (1993) argue that studies dated back to 1990 have failed to recognize the largest two constituents of volatility of fixed-income security returns: the capital gains or losses, resulting from changes in interest rates, and the reinvestment rate of coupons that are received at the current level of return, which may differ substantially from the promised yield to maturity.…”

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confidence: 92%

The role of high-yield bonds in strategic asset allocation over the Great Recession

Menounos

Alexiou

Vogiazas³

2017

Investment Management and Financial Innovations

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By utilizing a modified version of the Black-Litterman model, the authors explore the asset allocation to high-yield bonds based on an investor’s risk profile. In so doing, the researchers use US data on high-yield bonds and over the period 2007–2013. The key finding relates to the strategic asset allocation to high-yield bonds in a simulated global market portfolio depending on an investor’s risk tolerance. In particular, the share of high-yield bonds does not exceed 4.15% of total assets in a global market portfolio over the period 2007–2013, whilst the allocation remains relatively stable and small on a risk-adjusted basis, irrespective of an investor’s risk profile or the phase of the business cycle. In simple terms, the results suggest that high-yield bonds do not seem to merit a favorable treatment in the asset allocation process relative to other financial instruments in a global market portfolio.

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Crisis-Robust Bond Portfolios

Cited by 21 publications

References 42 publications

Rehabilitating the role of active management for pension funds

Rehabilitating the role of active management for pension funds

Investment in Microfinance Equity: Risk, Return, and Diversification Benefits

The role of high-yield bonds in strategic asset allocation over the Great Recession

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