{"product_id":"systematic-investing-in-credit","title":"Systematic Investing in Credit","description":"\u003cp\u003eAuthored by members of the Quantitative Portfolio Strategy Group at Barclays Research—a recognized authority in the field—\u003ci\u003eSystematic Investing in Credit\u003c\/i\u003e is based on their innovative research of timing signals in credit markets and is written in an intuitive yet quantitatively rigorous style.  \u003c\/p\u003e\u003cp\u003eIt opens with a powerful empirical study showing that credit, as an asset class, has consistently outperformed a risk-matched combination of equities and Treasuries and explaining it by unique risk factor exposures embedded in credit securities. \u003c\/p\u003e\u003cp\u003eNext, you’ll learn how to capitalize on inefficiencies of indices caused by their rules-based construction such as market weighting and inclusion\/exclusion criteria. The authors discuss the performance cost of these constraints and ways to exploit the resulting inefficiencies to outperform credit indices. \u003c\/p\u003e\u003cp\u003eThe authors proceed to analyze the performance and risk implications of portfolio characteristics—both traditional ones like coupon level and maturity distribution, and newer ones like ESG scores.  \u003c\/p\u003e\u003cp\u003eThe book presents the authors’ original value model as well as their momentum model, which is based on equity returns of a given issuer. The issuer size factor is also discussed. Included next is an analysis of optimal ways of combining factor signals in a portfolio while considering practical turnover limits and trading costs. The group’s research expertise spans both equity and fixed income markets. You’ll read about using equity-related data and methodologies to enhance credit portfolio performance.  \u003c\/p\u003e\u003cp\u003ePerfect for institutional investors, portfolio managers, and hedge fund professionals, \u003ci\u003eSystematic Investing in Credit\u003c\/i\u003e belongs on the bookshelves of all practitioners and academics involved in credit markets.\u003c\/p\u003e","brand":"Simon Polbennikov","offers":[{"title":"Default Title","offer_id":42839000383549,"sku":"9781119751281","price":142.16,"currency_code":"AUD","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0597\/7689\/2989\/files\/9781119751281_e47ce368-43a3-4498-9cb1-f076e3ba9021.jpg?v=1766952017","url":"https:\/\/www.palmleaf.com.au\/products\/systematic-investing-in-credit","provider":"Palmleaf","version":"1.0","type":"link"}