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Active bond strategies: What link between forecasting ability, excess return and performance?

de La Bruslerie, Hubert (2004), Active bond strategies: What link between forecasting ability, excess return and performance?, Journal of Asset Management, 5, 2, p. 105-119. http://dx.doi.org/10.1057/palgrave.jam.2240132

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Type
Article accepté pour publication ou publié
Date
2004-08
Journal name
Journal of Asset Management
Volume
5
Number
2
Publisher
Palgrave Macmillan
Pages
105-119
Publication identifier
http://dx.doi.org/10.1057/palgrave.jam.2240132
Metadata
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Author(s)
de La Bruslerie, Hubert
Abstract (EN)
The active management of a portfolio should not be appreciated only in terms of excess profitability vis-à-vis a reference benchmark. It is part of a complete process where a manager's superior expertise is supposed to exist 'upstream'. This paper aims to analyse the tie between forecasting ability and excess performance in active management. It limits itself to bond portfolio management, but takes into account the international environment. A simulation of choices of maturity and choices of market in an environment with four currencies will show a link between forecasting ability and the expectation of excess return. The opening of the international environment shows a superior potential for gain in comparison with domestic active management, but introduces a strong complexity.
Subjects / Keywords
Gestion de portefeuille; active strategies; bond management; international portfolio management; performance
JEL
G15 - International Financial Markets
G11 - Portfolio Choice; Investment Decisions

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