Skewness measures the asymmetry of return distributions, influencing investment risk-return profile, making it an essential statistical tool for portfolio management. Equity returns exhibit a negative skew, whereas Bond returns exhibit a neutral or slightly positive skew. However, there are certain…
Bond markets are forward-looking, pricing in expected monetary policy moves. Surprises occur when a central bank’s actions or communications deviate from these expectations. These banks significantly impact bond prices and returns as the market reprices bonds based on new, unexpected…
The investment grade (IG) market grew fivefold between 2006 and 2023, while the balance sheets of IG market makers shrunk during that period. This increased the sensitivity of credit spreads to liquidity. During the same period, more liquid Fixed Income…