Barbell strategy with bond portfolios: theory review and empirical study with government bond portfolios of Vietnam Prosperity Joint Stock Commercial Bank in 2018
Journal Title: Economic Annals-XXI - Year 2018, Vol 169, Issue 1
Abstract
The Barbell strategy is founded on the methodology initiated by the economic professor Harry Markowitz in a «portfolio theory» [2]. This strategy is mostly conducted by big scale institutions to cope with volatilities of market interest rates, diversify portfolios and increase the probability of higher return. The Barbell strategy is one of the fixed income securities investment strategies, focusing on short-term and long-term bonds and ignoring medium-term bonds, with the aim of balancing between liquidity and profit. In the context of a stable economy, the Barbell strategy is considered an advisable tool for big investors such as commercial banks, which helps them to construct their bond portfolios in not only preserving liquidity but also in ensuring sustainable profit. Besides reviewing the contents of the Barbell strategy and the forecasted yield curve of Vietnamese government bonds in 2018, the authors also test this strategy with Vietnam Prosperity Joint Stock Commercial Bank’s Portfolio in Vietnam Government Bonds in 2018. The suggested portfolio is classified into four types of bonds: one-year bonds (EUR 269.117 million); three-year bonds (EUR 459.082 million); ten-year bonds (EUR 708.412 million); and fifteen-year bonds (EUR 19.789 million). This application demonstrates the feasibility and reliability of the Barbell strategy.
Authors and Affiliations
Do Hoai Linh, Nguyen Thanh Trung, Vu Duy Thanh
Keywords
Related Articles
- EP ID EP534198
- DOI 10.21003/ea.V169-14
- Views 166
- Downloads 0
Human resource, financial market development and economic growth in Saudi Arabia: a role of human capital
Human Capital (HC) is considered as a key factor in determining and accelerating the economic growth in this modern age due to productivity gains. The present study explores the impact of human resources and financial ma...
FinTech sector and banking business: competition or symbiosis?
Introduction. The rapid development of the digital economy at the national and worldwide levels in recent decades has accelerated processes of transformation of financial systems and led to financialiation of the global...
Business mechanism of innovation-driven development of the agricultural market infrastructure
The article presents a mechanism of innovation-driven development of the agricultural market infrastructure, consisting of 5 subsystems: innovation customers, innovation suppliers, innovation activity objects, innovation...
Impact of aggregate expenditures on the volume of national production
Ukrainian economy, which is recovering after the severe crisis in 2009, has shown obvious signs of macroeconomic instability over the last five years, namely the slowdown of economic growth in 2012-2013 and the recession...
Modelling of endogenous factors impacting the efficiency of the aggregate capital in Ukraine’s agriculture
The economic situation in the country is estimated by using both GDP indicators and the growth rates of quantitative indicators of the national economy, including capital. The article is devoted to the economic-mathemati...