Summary:

Summary

The definitive guide to fixed income securities―updated and revised with everything you need to succeed in today’s market

For nearly 40 years, The Handbook of Fixed Income Securities has been providing comprehensive, current, reliable information on everything investors like you need to stay on top of the market and ahead of the curve. The fixed income market has changed dramatically in the past decade. This updated classic brings you fully up to date for a much-changed world of finance, where central banks play a bigger role, interest is low (and sometimes even in negative territory), regulations are more complex, and new types of securities have been created. Brand-new chapters cover:

• Relative value trades
• Muni analytics
• Financial data science
• Building and maintaining a bond portfolio
• Factor investing
• Relative value trades
• Smart beta fixed income
• Infrastructure and green bonds
• Sovereign bond markets

One of the world’s leading experts on fixed income securities, Frank Fabozzi has gathered a peerless team of global experts who provide the newest and best techniques for winning in today’s markets. Fixed Income Securities, Ninth Edition is a matchless, one-stop resource for all your professional needs.

Several members of EDHEC-Risk Institute contributed to the book and co-authored the chapter on "Factor Investing in Sovereign Bond Markets":

Frank Fabozzi, PhD. CFA, CPA, Professor of Finance, EDHEC Business School

Jean-Michel Maeso, Senior Quantitative Researcher, EDHEC-Risk Institute

Lionel Martellini, PhD, Professor of Finance, EDHEC Business School and Director of EDHEC-Risk Institute

Riccardo Rebonato, PhD, Professor of Finance, EDHEC Business School, EDHEC-Risk Institute

This chapter describe the theoretical, empirical and implementation challenges related to factor investing in a single credit-risk-free issuer universe. In such a universe neither time-series nor cross-sectional differences in risk and performance can be explained by differences in creditworthiness, as they could be in the case of a multi-issuer universe. The key message is that it is possible to identify economically justifiable strategies that, after accounting for transaction costs and other forms of trading frictions, generate excess returns from investing in a relatively homogenous set of highly correlated securities. The profitability of these strategies can be due to a reward from factor exposure, systematic predictability resulting from market inefficiencies, behavioral biases, or a combination of the above

About the Editors:

Frank J. Fabozzi is professor of finance at EDHEC Business School and a member of the EDHEC Risk Institute. Fabozzi has authored and edited a number of books on investment management, is editor of the Journal of Portfolio Management, and serves on the board of directors of the BlackRock complex of closed end funds. Fabozzi is the 2007 recipient of the C. Stewart Sheppard Award given by the CFA Institute.

Steven V. Mann is professor of finance at the Darla Moore School of Business, University of South Carolina. He has coauthored several books, including Floating-Rate Securities, Introduction to Fixed Income Analytics, and Global Money Markets.