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

Hubert de La Bruslerie

Journal of Asset Management, 2004, vol. 5, issue 2, No 4, 105-119

Abstract: Abstract 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.

Keywords: international portfolio management; bond management; active strategies; performance (search for similar items in EconPapers)
Date: 2004
References: Add references at CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1057/palgrave.jam.2240132 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pal:assmgt:v:5:y:2004:i:2:d:10.1057_palgrave.jam.2240132

Ordering information: This journal article can be ordered from
http://www.springer.com/finance/journal/41260

DOI: 10.1057/palgrave.jam.2240132

Access Statistics for this article

Journal of Asset Management is currently edited by Marielle de Jong and Dan diBartolomeo

More articles in Journal of Asset Management from Palgrave Macmillan
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().