Systematic Fixed Income: An Investor's Guide

  • 5h 16m
  • Scott A. Richardson
  • John Wiley & Sons (US)
  • 2022

Understand the role and potential of fixed income as an asset class

Systematic Fixed Income: An Investor’s Guide offers readers a powerful, practical, and robust framework for investors and asset managers to preserve the diversifying properties of a fixed income allocation, and add to that unique sources of excess returns via systematic security selection. In other words, this framework allows for efficient capture of fixed income beta and fixed income alpha.

Celebrated finance professional Dr. Scott Richardson presents concrete strategies for identifying the relevant sources of risk and return in public fixed income markets and explains the tactical and strategic roles played by fixed income in typical portfolios. In the book, readers will explore:

  • The implementation challenges associated with a systematic fixed income portfolio, including liquidity and risk
  • The systematic return sources for rate and credit sensitive fixed income assets in both developed and emerging markets

An essential read for asset managers and institutional investors with a professional interest in fixed income markets, Systematic Fixed Income: An Investor’s Guide deserves a place in the libraries of advanced degree students of finance, business, and investment, as well as other investment professionals seeking to refine their understanding of the full potential of this foundational asset class.

About the Author

Scott Richardson is a Senior Advisor (former principal) at AQR Capital Management, where he was the Co-Head of Fixed Income and a senior member of the Research and Portfolio Management team. He was also involved with the equity research for the firm’s Global Stock Selection group. Prior to AQR, he was a professor at London Business School, where he still teaches M.B.A. and Ph.D. classes. He has held senior positions at BlackRock (Barclays Global Investors), including head of Europe equity research and head of global credit research, where he oversaw research and investment decisions at BGI for both total return and absolute return products across credit and equity markets. He began his career as an assistant professor at the University of Pennsylvania. He is an editor of the Review of Accounting Studies and has published extensively in leading academic and practitioner journals. In 2009 he won the Notable Contribution to Accounting award for his work on earnings quality and accruals. Scott earned a B.Ec. with first-class honours from the University of Sydney and a Ph.D. in business administration from the University of Michigan.

In this Book

  • Setting the Stage
  • Fixed Income – Strategic Asset Allocation
  • Fixed Income – Tactical Asset Allocation
  • Incumbent Active Fixed Income Managers
  • Security Selection – Rate‐Sensitive Assets
  • Security Selection – Credit‐Sensitive Assets
  • Security Selection – Emerging Markets (Hard Currency)
  • Portfolio Construction Considerations
  • Liquidity and Trading Considerations
  • Sustainability
  • Putting it All Together