A Global Fixed Income Approach to Absolute Return

Topics:
Investment and Capital Markets
Tags:
Fixed Income,
Franklin Templeton Investments,
Management,
Return,
Strategy
Source:
Franklin Templeton Investments

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Overview: This paper describes how an unconstrained long-only global fixed income strategy, managed against the Lehman Brothers Global Aggregate Index, can serve as the framework for an absolute return strategy. Both strategies would have the same investment universe, but the absolute return strategy would include long and short positions. In an absolute return portfolio, alpha, or the return from active management positions, is the sole source of return for the portfolio. This differs from traditional long-only strategies where the return on the portfolio is equal to alpha plus beta, or the return from active management positions plus the return from the benchmark.

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Format: PDF | Size: 114KB | Date: Mar 2005 | Pages: 3

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