We examine whether fundamental measures of volatility are incremental to market based measures of volatility in (i) predicting bankruptcies (out of sample), (ii) explaining cross-sectional variation in credit spreads, and (iii) explaining future credit excess returns. Our fundamental measures of...

Style investing has become part of the investing nomenclature for equity markets. To date, despite the massive size of fixed income markets, little research has examined the efficacy of style-based investing in fixed income. In this paper we summarize a common style based framework for capturing...

Deleveraging risk is the risk attributable to investing in a security held by levered investors. When there is an aggregate negative shock to the availability of funding capital, securities with a greater presence of levered investors experience extreme return realizations as these investors...

Setting the Stage -- Fixed Income - Strategic Asset Allocation -- Fixed Income - Tactial Asset Allocation -- Incumbent Active Fixed Income Managers -- Security Selection - Rate Sensitive Assets -- Security Selection - Credit Sensitive Assets -- Security Selection - Emerging Markets (Hard...