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Style investing in fixed income

Journal

Journal of Portfolio Management

Subject

Accounting

Publishing details

Journal of Portfolio Management 2018 Vol 44:4 p 127-139

Authors / Editors

Brooks J;Palhares D;Richardson S

Biographies

Scott Richardson

Publication Year

2018

Abstract

Style investing has become part of the investing nomenclature for equity markets. To date, despite the massive size of fixed-income markets, little research has examined the efficacy of style-based investing in fixed income. In this article, the authors summarize a common style-based framework for capturing excess returns for both government and corporate bonds. Importantly, from an investor perspective, these style-based excess returns are highly diversifying with respect to the classic risk premiums in fixed-income markets (i.e., term premium and credit risk premium) and exhibit low macroeconomic sensitivities.

Available on ECCH

No


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