{"product_id":"systematic-investing-in-credit-hardcover","title":"Systematic Investing in Credit - Hardcover","description":"\u003cdiv\u003e\u003cp style=\"text-align: right;\"\u003e\u003ca href=\"https:\/\/reportcopyrightinfringement.com\/\" target=\"_blank\" rel=\"nofollow\"\u003e\u003cb\u003eReport copyright infringement\u003c\/b\u003e\u003c\/a\u003e\u003c\/p\u003e\u003c\/div\u003e\u003cp\u003eby \u003cb\u003eArik Ben Dor\u003c\/b\u003e (Author), \u003cb\u003eAlbert Desclee\u003c\/b\u003e (Author), \u003cb\u003eLev Dynkin\u003c\/b\u003e (Author)\u003c\/p\u003e\u003cp\u003e\u003c\/p\u003e\u003cp\u003e\u003cb\u003ePraise for SYSTEMATIC INVESTING \u003ci\u003ein\u003c\/i\u003e CREDIT\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\"Lev and QPS continue to shed light on the most important questions facing credit investors. This book focuses on their latest cutting-edge research into the appropriate role of credit as an asset class, the dynamics of credit benchmarks, and potential ways to benefit from equity information to construct effective credit portfolios. It is must-read material for all serious credit investors.\"\u003cbr\u003e--\u003cb\u003eRichard Donick\u003c\/b\u003e, President and Chief Risk Officer, DCI, LLC, USA\u003c\/p\u003e \u003cp\u003e\"Lev Dynkin and his team continue to spoil us; this book is yet another example of intuitive, insightful, and pertinent research, which builds on the team's previous research. As such, the relationship with this team is one of the best lifetime learning experiences I have had.\"\u003cbr\u003e--\u003cb\u003eEduard van Gelderen\u003c\/b\u003e, Chief Investment Officer, Public Sector Pension Investment Board, Canada\u003c\/p\u003e \u003cp\u003e\"The rise of a systematic approach in credit is a logical extension of the market's evolution and long overdue. Barclays QPS team does a great job of presenting its latest research in a practical manner.\"\u003cbr\u003e--\u003cb\u003eDavid Horowitz\u003c\/b\u003e, Chief Executive Officer and Chief Investment Officer, Agilon Capital, USA\u003c\/p\u003e \u003cp\u003e\"Systematization reduces human biases and wasteful reinventing of past solutions. It improves the chances of investing success. This book, by a team of experts, shows you the way. You will gain insights into the advanced methodologies of combining fundamental and market data. I recommend this book for all credit investors.\"\u003cbr\u003e--\u003cb\u003eLim Chow Kiat\u003c\/b\u003e, Chief Executive Officer, GIC Asset Management, Singapore\u003c\/p\u003e \u003cp\u003e\"For nearly two decades, QPS conducted extensive and sound research to help investors meet industry challenges. The proprietary research in this volume gives a global overview of cutting-edge developments in alpha generation for credit investors, from signal extraction and ESG considerations to portfolio implementation. The book blazes a trail for enhanced risk adjusted returns by exploring the cross-asset relation between stocks and bonds and adding relevant information for credit portfolio construction. Our core belief at Ostrum AM, is that a robust quantamental approach, yields superior investment outcomes. Indeed, this book is a valuable read for the savvy investor.\"\u003cbr\u003e--\u003cb\u003eIbrahima Kobar, CFA\u003c\/b\u003e, Global Chief Investment Officer, Ostrum AM, France\u003c\/p\u003e \u003cp\u003e\"This book offers a highly engaging account of the current work by the Barclays QPS Group. It is a fascinating mix of original ideas, rigorous analytical techniques, and fundamental insights informed by a long history of frontline work in this area. This is a must-read from the long-time leaders in the field.\"\u003cbr\u003e--\u003cb\u003eProfessor Leonid Kogan\u003c\/b\u003e, Nippon Telephone and Telegraph Professor of Management and Finance, MIT\u003c\/p\u003e \u003cp\u003e\"This book provides corporate bond portfolio managers with an abundance of relevant, comprehensive, data-driven research for the implementation of superior investment performance strategies.\"\u003cbr\u003e--\u003cb\u003eProfessor Stanley J. Kon\u003c\/b\u003e, Editor, \u003ci\u003eJournal of Fixed income\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e\"This book is a treasure trove for both pension investors and trustees seeking to improve performance through credit. It provides a wealth of empirical evidence to guide long-term allocation to credit, optimize portfolio construction and harvest returns from systematic credit factors. By extending their research to ESG ratings, the authors also provide timely insights in the expanding field of sustainable finance.\"\u003cbr\u003e--\u003cb\u003eEloy Lindeijer\u003c\/b\u003e, former Chief of Investment Management, PGGM, Netherlands\u003c\/p\u003e \u003cp\u003e\"Over more than a decade, Lev Dynkin and his QPS team has provided me and APG with numerous innovative insights in credit markets. Their work gave us valuable quantitative substantiation of some of our investment beliefs. This book covers new and under-researched areas of our markets, like ESG and factor investing, next to the rigorous and practical work akin to the earlier work of the group. I'd say read this book--and learn from one of the best.\"\u003cbr\u003e--\u003cb\u003eHerman Slooijer\u003c\/b\u003e, Managing Director, Head of Fixed Income, APG Asset Management, Netherlands\u003c\/p\u003e\u003ch3\u003eFront Jacket\u003c\/h3\u003e\u003cp\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\u003ch3\u003eBack Jacket\u003c\/h3\u003e\u003cp\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\u003ch3\u003eAuthor Biography\u003c\/h3\u003e\u003cp\u003e\u003c\/p\u003e\u003cp\u003e\u003cb\u003eARIK BEN DOR, \u003c\/b\u003e \u003cb\u003ePHD, \u003c\/b\u003e is a Managing Director in Barclays QPS and Head of Quantitative Equity Research. He joined QPS in 2004 at Lehman Brothers. Arik oversees research in equities, rates, credit, and hedge funds. Arik co-authored two books and published over a dozen articles in leading industry journals. He is on the editorial boards of the \u003ci\u003eJournal of Portfolio Management\u003c\/i\u003e and \u003ci\u003eJournal of Fixed Income\u003c\/i\u003e. Arik holds a PhD in finance from Kellogg School of Management. \u003c\/p\u003e\u003cp\u003e\u003cb\u003eALBERT DESCLÉE\u003c\/b\u003e is a Managing Director in Barclays QPS based in London and is responsible for its European activities. He advises investors on fixed income and multi-asset portfolio construction. Albert joined Barclays in 2008 from Lehman Brothers. Prior to this, he worked at Salomon Brothers in London. Albert graduated from the Catholic University of Louvain (Belgium) and obtained an MBA from INSEAD. \u003c\/p\u003e\u003cp\u003e\u003cb\u003eLEV DYNKIN, \u003c\/b\u003e \u003cb\u003ePHD, \u003c\/b\u003e is the Founder and Head of Quantitative Portfolio Strategy (QPS) Group at Barclays Research. Lev and QPS joined Barclays in 2008 from Lehman Brothers where they had been a part of Global Research since 1987 and helped launch the Lehman fixed income indices. For over a decade, QPS has been top ranked in its category in the Institutional Investor Research survey. Lev and QPS co-authored three books: \u003ci\u003eA Decade of Duration Times Spread (DTS), \u003c\/i\u003e Barclays, 2015; \u003ci\u003eQuantitative Credit Portfolio Management, \u003c\/i\u003e Wiley, 2011; and \u003ci\u003eQuantitative Management of Bond Portfolios, \u003c\/i\u003e Princeton University Press, 2007. \u003c\/p\u003e\u003cp\u003e\u003cb\u003eJAY HYMAN, \u003c\/b\u003e \u003cb\u003ePHD, \u003c\/b\u003e is a Managing Director in Barclays QPS. He advises clients on portfolio management relative to traditional benchmarks or liabilities, risk budgeting, style analysis, cost of constraints, sufficient diversification, and index replication. Jay has co-authored three books with QPS colleagues. He joined Barclays in 2008 from Lehman Brothers where he worked in quantitative research since 1991. Jay holds a PhD in Electrical Engineering from Columbia University. \u003c\/p\u003e\u003cp\u003e\u003cb\u003eSIMON POLBENNIKOV, \u003c\/b\u003e \u003cb\u003ePHD, \u003c\/b\u003e is a Managing Director in Barclays QPS. He is responsible for empirical research of all quantitative aspects of the investment process including systematic strategies and investment styles in fixed income, benchmark customization, tactical allocation, and hedging. Simon joined Barclays in 2008 from Lehman Brothers. Simon holds a PhD in empirical finance from Tilburg University, Netherlands.\u003c\/p\u003e\n            \u003cdiv\u003e\n\u003cstrong\u003eNumber of Pages:\u003c\/strong\u003e 736\u003c\/div\u003e\n            \u003cdiv\u003e\n\u003cstrong\u003eDimensions:\u003c\/strong\u003e 1.7 x 9.1 x 6.2 IN\u003c\/div\u003e\n            \u003cdiv\u003e\n\u003cstrong\u003ePublication Date:\u003c\/strong\u003e December 10, 2020\u003c\/div\u003e\n            ","brand":"Books by splitShops","offers":[{"title":"Default Title","offer_id":43153216110655,"sku":"9781119751281","price":120.0,"currency_code":"USD","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0105\/8226\/1823\/files\/HEbsCSUcQM9781119751281.webp?v=1776945201","url":"https:\/\/dhlswag.com\/products\/systematic-investing-in-credit-hardcover","provider":"BBB","version":"1.0","type":"link"}