By Michael R. Rosenburg, Lee R. Thomas III, Ronald Layard-Liesching, David Anthony, Lev Dynkin, Peter Rappoport, William L. Nemerever
The U.S. bond markets are one of the most productive on the planet, so bond portfolio managers's look for alpha needs to expand open air the us. This court cases updates managers and traders approximately 4 severe subject matters with regards to including international bonds to a fixed-income portfolio: the usefulness of going international, alterations within the methods for assessing sovereign possibility, forex in a world bond portfolio, and worldwide benchmarks.
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Extra resources for Global Bond Management II: The Search for Alpha
2000, Association for Investment Management and Research 39 Global Bond Management II risk as a component of country risk is a primary influence on sovereign debt risk. Another major consideration is quantification of the potential for capital flight away from the sovereign’s economy. A comparison of country interest rates in real terms and the yield spreads on external bonds as well also needs to be quantified in the reporting process. Unfortunately, net foreign asset/liability positions of commercial banks are frequently omitted from country risk reports.
The Bank for International Settlements does an excellent job of reporting this information. Frequently, consumer prices alone do not provide sufficient information for a thorough analysis of price levels and the future direction of inflation and interest rates. Therefore, other asset prices should be included in the analysis of inflation as indicators of the risk of a boom or bust situation developing. A measure of the degree to which consumer prices are trade related (import prices do not remain static) also has meaningful implications for a sovereign’s fiscal policy.
Consequently, the conditions that might constitute a sovereign debt default in one country may be entirely different in another country. Because of these difficulties, correctly forecasting sovereign defaults is almost impossible. Rather, the analyst’s role is to highlight the risk elements that might indicate the likelihood of sovereign default. The standard methodology used to assess sovereign debt risk can be improved in several ways. This pre- A 32 sentation begins with discussion of a few basic concepts about sovereign debt risk analysis and some generally accepted criteria for rating sovereign debt risk.
Global Bond Management II: The Search for Alpha by Michael R. Rosenburg, Lee R. Thomas III, Ronald Layard-Liesching, David Anthony, Lev Dynkin, Peter Rappoport, William L. Nemerever