Three trials in quantitative bond management.

Summary This thesis focuses on the new opportunities offered by the growth of Exchange-Traded Funds (ETFs). This research explores three of their impacts on collective bond management.The first step of this study observes the effects on underlyings of inclusion or exclusion in an ETF. Because of their hybrid structure, ETFs can affect the characteristics of underlyings and increase the proportion of uninformed investors. I exploit bond downgrades to establish a relationship between ETF ownership and the liquidity or price of the underlyings. The results show that the effects of ETF inclusion are long-lasting and partially persist after ETF exit. The next chapter proposes a methodology using the information contained in ETFs as a stress measure. Many investors take advantage of the speed of trading of ETFs to adjust their exposures very quickly. The proposed indicator provides a single methodology for all asset classes, which facilitates the analysis of its propagation. Finally, the last chapter deals with the integration of portfolio insurance strategies in an open-ended fund. The flexibility of ETFs across multiple asset classes creates new opportunities for portfolio insurance. This chapter proposes a model that tailors exposure to a risky asset based on downside and upside protections. The methodology allows for protection of all investors regardless of the subscription/redemption period. regardless of the subscription/redemption period.