{"product_id":"systematic-investing-in-credit-9781119751281","title":"Systematic Investing in Credit","description":"\u003cp\u003e • Author(s): Lev Dynkin\u003cbr\u003e • Publisher: Wiley\u003cbr\u003e • Publisher Imprint: Wiley\u003cbr\u003e • BISAC: Investments \u0026amp; Securities - General\u003c\/p\u003e\u003cp\u003e\u003c\/p\u003e\u003cp\u003e\u003cb\u003eFrom the Inside Flap\u003c\/b\u003e\u003cbr\u003e\u003c\/p\u003e\u003cp\u003eAuthored by members of the Quantitative Portfolio Strategy Group at Barclays Research--a recognized authority in the field--\u003ci\u003eSystematic Investing in Credit\u003c\/i\u003e is based on their innovative research of timing signals in credit markets and is written in an intuitive yet quantitatively rigorous style.\u003c\/p\u003e \u003cp\u003eIt 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.\u003c\/p\u003e \u003cp\u003eNext, 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.\u003c\/p\u003e \u003cp\u003eThe 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.\u003c\/p\u003e \u003cp\u003eThe 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.\u003c\/p\u003e \u003cp\u003ePerfect for institutional investors, portfolio managers, and hedge fund professionals, \u003ci\u003eSystematic Investing in Credit\u003c\/i\u003e belongs on the bookshelves of all practitioners and academics involved in credit markets.\u003c\/p\u003e","brand":"Wiley","offers":[{"title":"Hardcover","offer_id":45116972597399,"sku":"9781119751281","price":7090.0,"currency_code":"INR","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0666\/3471\/1191\/files\/9781119751281.webp?v=1767900560","url":"https:\/\/atlanticbooks.com\/products\/systematic-investing-in-credit-9781119751281","provider":"Atlantic Books","version":"1.0","type":"link"}