On the Dynamics of EMU Bond Portfolios: Is the Diversification of Risk Factors Driving to Convergence of Fund Exposure?

摘要

Most fixed-income managers are not well aware of their exposure to various fixed-income risk factors, says Gueorgui Konstantinov of LBBW Asset Management. "At the same time, many investors also do not realize how crowded these factors have become over the past few years, especially in Europe," he adds. On the Dynamics of EMU Bond Portfolios: Is the Diversification of Risk Factors Driving Convergence of Fund Exposure?, published in the Summer 2017 issue of The Journal of Investing, Konstantinov highlights how factor crowdedness has resulted from a yield-chasing, low-rate environment, and he explores the particular fragility of the European market. Konstantinov demonstrates an analytical framework using tradeable factors that investors could use to monitor and detect the degree of crowdedness.