Employing main and sector-specific investment-grade CDS indices from the North American and European CDS market and performing mean-variance out-of-sample analyses for conservative and aggressive investors over the period from 2006 to 2014, this paper analyzes portfolio benefits of adding corporate CDS indices to a traditional financial portfolio consisting of stock and sovereign bond indices. As a baseline result, we initially find an increase in portfolio (downside) risk-diversification when adding CDS indices, which is observed irrespective of both CDS markets, investor-types and different sub-periods, including the global financial crisis and European sovereign debt crisis. In addition, the analysis reveals higher portfolio excess returns and performance in CDS index portfolios, however, these effects clearly differ between markets, investor-types and sub-periods. Overall, portfolio benefits of adding CDS indices mainly result from the fact that institutional investors replace sovereign bond indices rather than stock indices by CDS indices due to better risk-return characteristics. Our baseline findings remain robust under a variety of robustness checks. Results from sensitivity analyses provide further important implications for institutional investors with a strategic focus on a long-term conservative portfolio management.

中文翻译：

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增加公司信用违约掉期指数的投资组合收益：来自北美和欧洲的证据

利用北美和欧洲CDS市场的主要和特定行业的投资级CDS指数，并对2006年至2014年期间的保守和激进投资者进行均值方差样本外分析，本文分析了增加公司CDS指数到由股票和主权债券指数组成的传统金融投资组合。作为基准结果，我们最初发现在添加CDS指数时，投资组合（下行）风险分散度有所增加，无论CDS市场，投资者类型和不同子时期（包括全球金融危机和欧洲主权债务）都被观察到危机。此外，分析显示，CDS指数投资组合具有更高的投资组合超额收益和业绩，但是，这些影响在不同的市场之间明显不同，投资者类型和子时期。总体而言，增加CDS指数的投资组合收益主要来自以下事实：由于更好的风险收益特性，机构投资者用CDS指数代替了主权债券指数而不是股票指数。在各种稳健性检查下，我们的基线发现仍然稳健。敏感性分析的结果将战略重点放在长期保守的投资组合管理上，从而为机构投资者提供了进一步的重要启示。