From the Inside Flap
Authored by members of the Quantitative Portfolio Strategy Group at Barclays Research--a recognized authority in the field--Systematic Investing in Credit is based on their innovative research of timing signals in credit markets and is written in an intuitive yet quantitatively rigorous style.
It 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.
Next, 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.
The 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.
The 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.
Perfect for institutional investors, portfolio managers, and hedge fund professionals, Systematic Investing in Credit belongs on the bookshelves of all practitioners and academics involved in credit markets.
ARIK BEN DOR, PHD, is a Managing Director in Barclays QPS and Head of Quantitative Equity Research. He joined QPS in 2004 at Lehman Brothers. Arik oversees research in equities, rates, credit, and hedge funds. Arik co-authored two books and published over a dozen articles in leading industry journals. He is on the editorial boards of the Journal of Portfolio Management and Journal of Fixed Income. Arik holds a PhD in finance from Kellogg School of Management.
ALBERT DESCLÉE is a Managing Director in Barclays QPS based in London and is responsible for its European activities. He advises investors on fixed income and multi-asset portfolio construction. Albert joined Barclays in 2008 from Lehman Brothers. Prior to this, he worked at Salomon Brothers in London. Albert graduated from the Catholic University of Louvain (Belgium) and obtained an MBA from INSEAD.
LEV DYNKIN, PHD, is the Founder and Head of Quantitative Portfolio Strategy (QPS) Group at Barclays Research. Lev and QPS joined Barclays in 2008 from Lehman Brothers where they had been a part of Global Research since 1987 and helped launch the Lehman fixed income indices. For over a decade, QPS has been top ranked in its category in the Institutional Investor Research survey. Lev and QPS co-authored three books: A Decade of Duration Times Spread (DTS), Barclays, 2015; Quantitative Credit Portfolio Management, Wiley, 2011; and Quantitative Management of Bond Portfolios, Princeton University Press, 2007.
JAY HYMAN, PHD, is a Managing Director in Barclays QPS. He advises clients on portfolio management relative to traditional benchmarks or liabilities, risk budgeting, style analysis, cost of constraints, sufficient diversification, and index replication. Jay has co-authored three books with QPS colleagues. He joined Barclays in 2008 from Lehman Brothers where he worked in quantitative research since 1991. Jay holds a PhD in Electrical Engineering from Columbia University.
SIMON POLBENNIKOV, PHD, is a Managing Director in Barclays QPS. He is responsible for empirical research of all quantitative aspects of the investment process including systematic strategies and investment styles in fixed income, benchmark customization, tactical allocation, and hedging. Simon joined Barclays in 2008 from Lehman Brothers. Simon holds a PhD in empirical finance from Tilburg University, Netherlands.
