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Article

A Bond-Picking Model for Corporate Bond Allocation

Mathieu L’Hoir and Mustafa Boulhabel
The Journal of Portfolio Management Spring 2010, 36 (3) 131-139; DOI: https://doi.org/10.3905/jpm.2010.36.3.131
Mathieu L’Hoir
is the deputy head of investment research at Sinopia Asset Management in Paris, France.
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  • For correspondence: mathieu.l.hoir@sinopia.fr
Mustafa Boulhabel
is a financial engineer at Sinopia Asset Management in Paris, France.
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  • For correspondence: mustafa.boulhabel@sinopia.fr
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Abstract

An active investment process in corporate bonds requires an approach that explicitly takes into account the diversification benefits that can be derived from a combination of alpha signals.The main challenge is to find indicators that fulfill at least two conditions.First, each individual alpha signal should achieve consistent performance on a univariate basis, and second, each should exhibit relatively low performance correlation because low correlation is a necessary condition for generating a diversification effect.L’Hoir and Boulhabel show that the combination of three types of signals—valuation signals, equity return signals, and earning momentum signals—fulfills the aforementioned conditions and delivers consistent and stable risk-adjusted returns. The authors present the results of their study for the U.K. corporate bond market.

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A Bond-Picking Model for Corporate Bond Allocation
Mathieu L’Hoir, Mustafa Boulhabel
The Journal of Portfolio Management Apr 2010, 36 (3) 131-139; DOI: 10.3905/jpm.2010.36.3.131

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A Bond-Picking Model for Corporate Bond Allocation
Mathieu L’Hoir, Mustafa Boulhabel
The Journal of Portfolio Management Apr 2010, 36 (3) 131-139; DOI: 10.3905/jpm.2010.36.3.131
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