Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JPM
    • Awards
    • Editorial Board
    • Published Ahead of Print (PAP)
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

User menu

  • Sample our Content
  • Request a Demo
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Portfolio Management
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Request a Demo
  • Log in
The Journal of Portfolio Management

The Journal of Portfolio Management

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JPM
    • Awards
    • Editorial Board
    • Published Ahead of Print (PAP)
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter
Primary Article

Value of Security Selection versus Asset Allocation in Credit Markets

Lev Dynkin, Peter Ferket, Jay Hyman, Erik van Leeuwen and Wei Wu
The Journal of Portfolio Management Summer 1999, 25 (4) 11-27; DOI: https://doi.org/10.3905/jpm.1999.319759
Lev Dynkin
A senior vice president of fixed income research at Lehman Brothers in New York (NY 10285).
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
Peter Ferket
A senior researcher in the quantitative research department of RobecoGroup in the Netherlands.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
Jay Hyman
Vice president of fixed income research at Lehman Brothers in New York (NY 10285).
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
Erik van Leeuwen
A senior portfolio manager in the fixed income department of Robeco Group.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
Wei Wu
A vice president of fixed income research at Lehman Brothers in New York (NY 10285).
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Abstract

In this article, the authors quantify the relative merits of different styles of credit investing in a limiting ideal case. For portfolios of credit spread securities managed relative to fixed-income benchmarks, they investigate the value added by security selection and various asset allocation strategies based on “perfect foresight.” In conducting their historical study, they rely on the simulation of such strategies using data for the Lehman Brothers U.S. High Grade Corporate Index. Simulations of given strategy are matched to the index in every dimension but one. The success of each strategy is evaluated on the basis of the “information ratio” a ratio of the strategy's outperformance of the index to the standard deviation of such outperformance. The author's findings suggest that security selection with “perfect foresight” in a corporate bond portfolio is the single most effective way to generate steady outperformance of the index. This applies to both the “select winners” and the “avoid losers” cases. Yield curve timing, sector rotations, and credit rating selections may deliver more outperformance, but with higher variance. Results obtained in this study may be used to justify selection of bottom-up versus top-down portfolio management styles and allocation of research efforts and risk budgets.

  • © 1999 Pageant Media Ltd

Don’t have access? Click here to request a demo

Alternatively, Call a member of the team to discuss membership options

US and Overseas: +1 646-931-9045

UK: 0207 139 1600

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Portfolio Management
Vol. 25, Issue 4
Summer 1999
  • Table of Contents
  • Index by author
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Portfolio Management.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Value of Security Selection versus Asset Allocation in Credit Markets
(Your Name) has sent you a message from The Journal of Portfolio Management
(Your Name) thought you would like to see the The Journal of Portfolio Management web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Value of Security Selection versus Asset Allocation in Credit Markets
Lev Dynkin, Peter Ferket, Jay Hyman, Erik van Leeuwen, Wei Wu
The Journal of Portfolio Management Jul 1999, 25 (4) 11-27; DOI: 10.3905/jpm.1999.319759

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Value of Security Selection versus Asset Allocation in Credit Markets
Lev Dynkin, Peter Ferket, Jay Hyman, Erik van Leeuwen, Wei Wu
The Journal of Portfolio Management Jul 1999, 25 (4) 11-27; DOI: 10.3905/jpm.1999.319759
del.icio.us logo Digg logo Reddit logo Twitter logo CiteULike logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
  • PDF (Subscribers Only)

Similar Articles

Cited By...

  • No citing articles found.
  • Google Scholar

More in this TOC Section

  • An Assessment of Terrorism-Related Investing Strategies
  • Dividends versus Share Repurchase
  • Pricing Stock and Bond Options in Incomplete Markets
Show more Primary Article
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

MORE FROM PMR

  • News
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Sign In
  • Update your profile
  • Give us your feedback

© 2021 Pageant Media Ltd | All Rights Reserved | ISSN: 0095-4918 | E-ISSN: 2168-8656

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies