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.

SCOTT A. RICHARDSON, PhD, is a Senior Advisor at AQR Capital Management. He is a professor at London Business School and has held senior positions at 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.

Chapter 1: Setting the Stage

Chapter 2: Fixed Income – Strategic Asset Allocation

Chapter 3: Fixed Income – Tactial Asset Allocation

Chapter 4: Incumbent Active Fixed Income Managers

Chapter 5: Security Selection – Rate Sensitive Assets

Chapter 6: Security Selection – Credit Sensitive Assets

Chapter 7: Security Selection – Emerging Markets (Hard Currency)

Chapter 8: Portfolio Construction Considerations

Chapter 9: Liquidity and Trading Considerations

Chapter 10: Sustainability

Chapter 11: Putting it All Together