Enhancing risk-adjusted return using time series momentum in sovereign bonds

Hambusch, G; Hong, KJ; Webster, E

Enhancing risk-adjusted return using time series momentum in sovereign bonds

Hambusch, G

Hong, KJ Webster, E

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Publication Type:: Journal Article
Citation:: Journal of Fixed Income, 2015, 25 (1), pp. 96 - 111
Issue Date:: 2015-06-01

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Field	Value	Language
dc.contributor.author	Hambusch, G https://orcid.org/0000-0003-4289-4279	en_US
dc.contributor.author	Hong, KJ	en_US
dc.contributor.author	Webster, E	en_US
dc.date.issued	2015-06-01	en_US
dc.identifier.citation	Journal of Fixed Income, 2015, 25 (1), pp. 96 - 111	en_US
dc.identifier.issn	1059-8596	en_US
dc.identifier.uri	http://hdl.handle.net/10453/39330
dc.description.abstract	© 2015, Institutional Investor, Inc. All rights reserved. This article studies an actively managed bond strategy based on time series momentum in sovereign bond markets. The author assesses the performance of an active strategy and investigates diversification benefits in comparison with a passive buy-and-hold strategy when each strategy is combined with international equity indexes. The analysis provides evidence that the active strategy offers higher expected returns without increasing return volatility. Importantly, and in comparison with the passive strategy, the active strategy results in both significant return and diversification enhancements when combined with international equity indexes. Therefore, the author suggests that his active momentum strategy can serve fund managers as an alternative to common long-only passive bond strategies to enhance the riskadjusted return of a combined portfolio of sovereign bonds and equities.	en_US
dc.relation.ispartof	Journal of Fixed Income	en_US
dc.relation.isbasedon	10.3905/jfi.2015.25.1.096	en_US
dc.title	Enhancing risk-adjusted return using time series momentum in sovereign bonds	en_US
dc.type	Journal Article
utslib.citation.volume	1	en_US
utslib.citation.volume	25	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
utslib.for	1501 Accounting, Auditing and Accountability	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Finance Discipline
pubs.organisational-group	/University of Technology Sydney/Students
utslib.copyright.status	closed_access
pubs.issue	1	en_US
pubs.publication-status	Published	en_US
pubs.volume	25	en_US

Abstract:

© 2015, Institutional Investor, Inc. All rights reserved. This article studies an actively managed bond strategy based on time series momentum in sovereign bond markets. The author assesses the performance of an active strategy and investigates diversification benefits in comparison with a passive buy-and-hold strategy when each strategy is combined with international equity indexes. The analysis provides evidence that the active strategy offers higher expected returns without increasing return volatility. Importantly, and in comparison with the passive strategy, the active strategy results in both significant return and diversification enhancements when combined with international equity indexes. Therefore, the author suggests that his active momentum strategy can serve fund managers as an alternative to common long-only passive bond strategies to enhance the riskadjusted return of a combined portfolio of sovereign bonds and equities.

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http://hdl.handle.net/10453/39330