Foreign holdings of China bonds have grown at an annual compounded rate of 38% in the past two years, from 1.1 trillion CNY as of December 2017, to 2.2 trillion CNY by December 2019.
COVID-19 and the markets reaction to it are unprecedented. For the past three weeks, the CMM102 was as low as 2.0 and as high as 3.5. Clients have observed some issues with our primary/secondary spread model and...
The growth and evolution of the REIT sector has given rise to an important new dimension of portfolio diversification. The REIT universe has expanded greatly beyond the property sectors institutional investors...
The Russell 2000 has become the preeminent representative of the US small-cap stock domain since its inception in 1984. More than 40 years of data enables deep insights into the relative performance and distinct...
Yield Book released the Agency RMBS Prepayment Model v21.5 near the end of 2019. We held a client webinar on this model update and received numerous client feedback and questions concerning various aspects of the...
FN DUS is one of the largest multifamily lending program with current outstanding balance over $330 billion. Yield Book FN DUS prepayment model is a loan-level model which provides clients with a tool to study and...
Yield Book applications have covered the Agency Credit Risk Transfer (CRT) market since the introduction of STACR and CAS issuances in 2013. Foundational to CRT analytics is a comprehensive suite of models projecting...
The markets have been very volatile in the past week. On Friday Feb 28, we saw a big rally on MBS prices. On Tuesday Mar 3, the Fed cut interest rates by half of a percentage point, its biggest single cut in more...
This paper explores the investment impact of the large and persistent home bias in the equity allocations of the Swiss pension fund markets since the global financial crisis.
The FTSE Custom Developed ex Korea SDG Aligned Index (“SDG Aligned index”) is a developed market equity benchmark launched in March 2019 that uses adjustments to constituent weights to create alignment with four of...
Factor strategies differ significantly in terms of portfolio construction. There is much debate regarding the pros and cons of alternative construction approaches. A vigorous debate has unfurled over the best way to...
Sovereign debt investors are exposed to a range of climate change risks that are generally not well understood or incorporated into the investment process. Part of the challenge has been the lack of sustainable...
Is it better for a bond index to be able to change every day, or only every month? This paper discusses the pros and cons of each approach, using examples taken from the FTSE Canada Universe Bond Index—which...
For this study, the second in our series on the effects of investor home bias, we examined the industry concentrations, performance and return-to-risk profiles of the equity markets in France, Germany, Netherlands,...
Although China-US trade tensions continue to dominate headlines, September data from the Bond Connect trading scheme – which grants international investors access to China’s interbank bond market – revealed trading...
In this paper, we introduce what could be the impact of climate change for sovereigns via the changes in fiscal policy, social contract and political stability, in both advanced and emerging economies. First, we...
In this paper, we address questions that are frequently asked by clients, focusing on Selection & Weighting and comparing it to the Bottom-up FTSE Russell Tilt approach.
The objective of this paper is to explore the US mortgage-backed securities (MBS) market from the perspective of a foreign investor. We pay particular attention to the US Agency MBS segment, owing to its size,...
Studies have shown that pension funds have inherent biases to their domestic markets within their equity allocations. We measured the extent of the home bias in the US, UK, Japan, Canada and Australia between...
Real estate is a popular asset class that can be easily accessed through investing in the exchange-listed stocks of real estate companies globally. In this report we use the FTSE EPRA Nareit Global Real Estate Index...
