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
TypeArticle accepté pour publication ou publié
Journal nameJournal of Asset Management
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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 / KeywordsGestion de portefeuille; active strategies; bond management; international portfolio management; performance
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