Fixed Income Portfolio Management in a Low Rate Environment
Natixis Asset Management’s Fixed Income investment division is pleased to present its latest research publication. Composed by the Quantitative Research and Analysis team, the document highlights the theme of portfolio management in a low rate environment.
“At the beginning of 2016, negative interest rates that would have been unconceivable a few years ago on the fixed income markets can be observed. This state of affairs is very difficult to sustain for certain investors and raises a few questions that we want to explore in this paper. […]
In the first part of this paper we examine the reasons of a decline in natural rates and the economic issues raised by low and negative interest rates.
In the second part of the paper we will see how financial models deal with this possibility and the implications of low rates on the pricing of long rate instruments. […] In the third part, we analyze the impact of a low rate environment on risk and allocation models.”