Global Bond Allocation Using Duration Times Spread
研究发现债券的久期乘以信用利差（DTS）能有效衡量其价格波动，在政府债券市场指数层面，久期和利差解释了大部分价格波动和相关性，为全球债券组合风险管理提供了新视角。
The duration times the credit spread of a bond, denoted DTS, is an effective proxy for its price variance. On an aggregate level, the measure is key to specifying the covariance between bond prices as well. Using a sample of government bond market indices, the author shows that the duration and spread, both on an index level, explain the largest share of the price variance and covariance between government bond markets. The bonds in the indices are denominated in local currency and are hedged against exchange-rate risk. The findings provide new insights for managing bond risk in globally invested portfolios.