FYI: Abstract:
The skilled “unconstrained bond fund frontier” has dominated other fixed income strategy frontiers, exhibiting what appears to be an annualized “alpha” of about 4% per year. Unless investment constraints enhance returns, investors inclined to allocate to skilled fixed income managers should generally prefer skilled unconstrained strategies to skilled benchmark constrained strategies. Of course, the zero-sum nature of “macroconsistency” suggests a balancing act in which 1) the benefit obtained by skilled investors who may “be fearful when others are greedy, and be greedy when others are fearful’ is 2) provided by unskilled investors who are “greedy when others are greedy and fearful when others are fearful”.
Regards,
Ted
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2550528
