Systematic Fixed Income: An Investor's Guide - Hardcover

by Scott A. Richardson (Author)

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.

Front Jacket

Fixed income is a ubiquitous and necessary component of asset owner portfolios. The markets are enormous and constitute an impactful diversifier alongside equity allocations. Improved data sources and electronification of markets now allow for systematic investment approaches to be realistically applied to fixed income markets. The potential for asset owners is significant.

In Systematic Fixed Income: An Investor's Guide, renowned finance professional Dr. Scott Richardson delivers a comprehensive framework for identifying the relevant sources of risk and return in public fixed income markets. In the book, the author conducts a robust and accessible analysis of the strategic and tactical roles that fixed income can play in asset allocation. He also covers systematic security selection for rate and credit sensitive fixed income assets across developed and emerging markets.

Equipped with a full understanding of what drives returns, readers will explore the implementation challenges--including liquidity and risk--that must be overcome for investors to be successful with systematic fixed income portfolios.

The result is a strategy for preserving the diversifying potential of fixed income as an asset class while adding diversifying returns via security selection.

Systematic Fixed Income: An Investor's Guide proves and highlights the powerful diversifying potential of a well-implemented systematic fixed income allocation. It will earn a place in the libraries of institutional investors and asset managers everywhere, as well as advanced degree students of finance, business, and investment.

Back Jacket

PRAISE FOR SYSTEMATIC FIXED INCOME

"Systematic Fixed Income is the definitive companion for portfolio managers and students of fixed-income markets. Dr. Richardson expertly lays the subject open, clearly explaining the how and why of tactical and strategic allocation of fixed-income portfolios. There is no substitute for this book."
--DARRELL DUFFIE, Adams Distinguished Professor of Management and Professor of Finance, Graduate School of Business, Stanford University

"Dr. Richardson's book is a thoughtful compilation of knowledge that he has accumulated throughout his distinguished career as both an academic and a practitioner. I strongly recommend it to anyone interested in learning about fixed income investing--systematic or otherwise."
--NAVNEET ARORA, Ph.D., Head of Global Quantitative Strategies, Citadel

"Scott Richardson, one of the pioneers of systematic fixed income investing and leading practitioners in the field, has produced a highly readable guide to the process, navigating the difficulties with clarity, directness, and data. Referencing the latest research, much of which he has authored, this book will spearhead the next generation of fixed income management."
--STEPHEN KEALHOFER, Founder and Head of Research, KMV, DCI

"Electronification of global fixed income markets has set the stage for successful systematic investing. Scott Richardson has been in the vanguard of systematic fixed income investing as an academic and practitioner. In this extremely useful book, Scott leverages his experience to provide a consistent, and practicable, guide for investors seeking alpha from timing and security selection in global fixed income."
--ROSS GARON, Global Head of Quantitative Strategies at Millennium

"In this comprehensive and insightful book, Scott Richardson describes the promise of a systematic approach to global fixed-income markets, showing how investors can address the challenges arising from the fragmentation of fixed-income markets into many thousands of finite-lived assets. The book is a compelling proposal for a modern approach to fixed-income asset management."
--JOHN CAMPBELL, Morton L. and Carole S. Olshan Professor of Economics, Harvard University

"Systematic investing--driven by models and data--has made major inroads in equity investment, but not in fixed income. This book is long overdue, and Scott Richardson is the ideal author. Combining his clear grasp of theory, coupled with his long practicioner experience, it is a 'must read' for fixed-income investors."
--STEPHEN SCHAEFER, Professor, London Business School

"This book is a must read for any serious investment professional or aspiring student interested in systematic fixed income. Scott Richardson is one of the most experienced hands-on global professionals in this space bringing a unique combination of insights that span both academia and industry."
--ANDREW JACKSON, Head of Research, Vinva Investment Management

Author Biography

SCOTT A. RICHARDSON, PhD, is a Director at Acadian Asset Management, leading the systematic credit business. He is a professor at London Business School and has held senior positions at AQR Capital Management and BlackRock (Barclays Global Investors). He is an editor of the Review of Accounting Studies. Dr. Richardson earned his Ph.D. in Business Administration from the University of Michigan.