Identifying Liquidity Risk in Fixed Income Mutual Funds: A Quantitative Approach

Identifying Liquidity Risk in Fixed Income Mutual Funds: A Quantitative Approach

The 2020 COVID-fueled market crash serves as a reminder for investors, mutual fund managers and regulators of the potential dangers of liquidity risk in fixed-income funds. In a sudden crisis or black swan event, this could potentially put investor capital at risk or cause wider market disruptions.

The quantitative research and approach demonstrated in this webinar will help provide a useful and pragmatic framework for investment practitioners to screen for liquidity risks when selecting new fixed-income products, as well as when conducting ongoing monitoring of their current bond funds.

In this webinar we discussed:

• The warning signs of bond fund liquidity issues
• COVID-19: Liquidity risk case point
• Challenges of screening funds for liquidity risk
• Benefits of a quantitative liquidity risk analysis
• MPI two quant measures for liquidity screen
• Case Study: Multi-sector and core-plus bond funds
• Open discussion and Q&A