How a New Bond Issuance Affects the Liquidity of a Bond Portfolio

2021 ◽  
pp. jfi.2021.1.117
Author(s):  
Fan Chen ◽  
Duane Stock
Keyword(s):  
Bond Portfolio

Commodities in International and Emerging Markets

2018 ◽  
Author(s):  
Kamal Smimou
Keyword(s):  
Business Cycle ◽  
Emerging Markets ◽  
Emerging Market ◽  
Trading Strategies ◽  
Emerging Nations ◽  
Economic Significance ◽  
Portfolio Strategy ◽  
Bond Portfolio ◽  
The Business Cycle ◽  
Global Investors

This chapter seeks to elucidate the relations of U.S.-listed global commodity futures, the business cycle, and stocks and bonds of emerging markets. It shows that global investors poised to benefit from investing in emerging market securities can concurrently learn from and better understand the dynamic intermarket relations when establishing such trading strategies. Investment in emerging markets can enhance the performance and sturdiness of an equity or bond portfolio strategy. Evidence lends support to the conjecture that a subtle contemporaneous and occasionally trailing effect exerted by the movement of global commodities on the business cycle exists. Global commodities also affect equity and bond market dynamics. The evidence also reveals differences in terms of economic significance and magnitude among selected emerging nations and across various commodities.

A classification of structured bond portfolio modeling techniques

1990 ◽  
Vol 17 (1) ◽  
pp. 37-48 ◽  
Author(s):  
Randall S. Hiller ◽  
Christian Schaack
Keyword(s):  
Bond Portfolio ◽  
Modeling Techniques

Tax Optimization of Municipal Bond Portfolios: Investment Selection and Tax Rate Arbitrage

2018 ◽  
Keyword(s):  
Interest Rates ◽  
Capital Gains ◽  
Municipal Bond ◽  
Tax Rate ◽  
Arbitrage Opportunities ◽  
Bond Portfolio ◽  
Tax Management ◽  
Selling Strategies ◽  
Tax Loss

This article considers how to improve the after-tax performance of a municipal bond portfolio by using tax-beneficial selling strategies. These strategies include tax loss harvesting (selling a bond at a price below the investor’s tax basis), applicable when interest rates increase, and tax rate arbitrage (paying tax earlier at a relatively low long-term capital gains rate, rather than at maturity at a much higher rate), applicable when rates decline. A tax-beneficial selling opportunity is a free investor-specific option, acquired automatically at the time of purchase. The combination of tax loss harvesting and rate arbitrage opportunities provides a straddle. The embedded tax option in a portfolio can be valued using option-adjusted spread–based bond analytics. Astute investors should maximize the value of the tax option in their portfolios, subject to the usual portfolio profile constraints. The author shows that bonds purchased near par are poorly suited for tax management and that dynamic tax management can improve the expected annual after-tax return by 20 to 30 bps.

scholarly journals Bond Portfolio Allocations in South Africa Emerging Markets

2016 ◽  
Vol 5 (1) ◽  
pp. 73-80
Author(s):  
Jinghua Wang ◽  
John Bilson
Keyword(s):  
South Africa ◽  
Emerging Markets ◽  
Financial Integration ◽  
Emerging Market ◽  
Dynamic Factor ◽  
Portfolio Performance ◽  
Varying Coefficients ◽  
Bond Portfolio ◽  
Time Varying Coefficients ◽  
Developed World

Over the past fifty years, economic growth in emerging markets has been supported by investments in capital and technology from the developed world. The benefit of this development for the emerging markets, as measured by growth in income, employment, and wealth, is immediately apparent. There have also been significant advantages for the developed world through opportunities for higher risk adjusted returns from investments in emerging markets. This study explores the benefits of the diversification of global government bond portfolio, and provides complete performance evaluations of DMs with or without South Africa emerging market (SAEM) bonds. The study examines the benefits of inclusion of SAEM bonds in DMs, the degrees of financial integration among the research markets, the relative bond returns of dynamic factor models with time-varying coefficients and the robust tests of bond portfolio performance between DMs with SAEM and bond index. The results of this study provide important implications for global investors by identifying diversification gains in SAEM.

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