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Publication type: Master thesis
Title: Liquid fixed income absolute return strategies
Authors: Pacella Bettoni, Mauro
Advisors / Reviewers: Schwendner, Peter
Gramespacher, Thomas
DOI: 10.21256/zhaw-2109
Extent: 185
Issue Date: 2017
Publisher / Ed. Institution: ZHAW Zürcher Hochschule für Angewandte Wissenschaften
Language: English
Subject (DDC): 332.6: Investment
Abstract: With interest rates being at a historical low, investors are looking for alternatives to bond investing, which are not only richer in profits but also appropriate in risks. In their theoretical construction, absolute return strategies qualify as a possible solution, as their structure allows for delivering positive returns at any time, without taking higher risks. In recent years, absolute return strategies have been increasingly applied in the areas of equities, commodities and foreign exchange, but to a lower extent in fixed income. Therefore, this study has mainly consisted in elaborating possible fixed income absolute return strategies, based on sovereign bond futures of different maturities and currencies and traded according to the investment styles carry, momentum and value within both a directional and cross-asset setting. These investment styles have been applied in isolation and in conjunction, under both a decreasing and increasing interest rate environment. This was done with the aim of identifying whether long/short strategies based on these investment styles are likely to outperform a passive long-only strategy independent of the economic environment.
License (according to publishing contract): CC BY-NC-ND 4.0: Attribution - Non commercial - No derivatives 4.0 International
Departement: School of Management and Law
Appears in collections:MSc Banking and Finance

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