- Filter By.
-
Topic (${ Topics.length })
-
-
Type (${ ContentTypes.length })
-
Contributor (${ Contributors.length })
- Relevance
- Newest
- Oldest
Interview
Meet the Expert: Jordan Brooks on Systematic Fixed Income
October 12, 2018
AQR Managing Director Jordan Brooks answers questions about systematic fixed income, including how AQR implements the strategy and what makes it different from smart beta.
Journal Article
Active Fixed Income Illusions
December 17, 2019
Across a broad set of popular active fixed income categories, we find that passive exposures to traditional risk premia (especially exposure to credit risk) explain the majority of fixed income manager active returns.
Journal Article
Superstar Investors
December 6, 2016
Many famous investors are outspoken about their investment philosophies and use them selectively. We seek to apply their wisdom systematically to determine whether their philosophies, if applied broadly, might still generate “alpha.”
Systematic Fixed Income: Introduction
October 9, 2018
Systematic fixed income takes a rigorous, repeatable approach to investing in bonds.
Journal Article
Style Investing in Fixed Income Markets
April 1, 2016
A disciplined, systematic approach to over/underweight securities based on well-known factors, or styles, such as value, momentum, carry and defensive (sometimes called “quality”), can offer alternative sources of outperformance not only within equities, where these ideas have long been studied and applied, but also within fixed income markets.
Working Paper
(Systematic) Investing in Emerging Market Debt
March 4, 2020
We extend the analysis of systematic investment approaches to emerging market (EM) fixed income. We find that systematic exposures linked to carry, defensive, momentum and valuation themes are well compensated and lowly correlated in EM markets, and that a systematic approach to EM debt may be a powerful diversifier.
Journal Article
Style Investing in Fixed Income
March 15, 2018
A disciplined, systematic approach to over-/underweight securities based on well-known factors, or styles, such as value, momentum, carry and defensive, can offer alternative sources of outperformance not only within equities but also within fixed income markets.
White Paper
A Half Century of Macro Momentum
August 10, 2017
"Macro momentum has the potential to deliver strong positive returns with low correlation to traditional asset classes across macroeconomic and market environments. It may also provide diversification benefits in bear equity markets and rising yield environments. "
White Paper
Eurozone Inflation Update: Will ECB Actions Match Its Rhetoric?
April 1, 2011
As inflation concerns take center stage in Europe, we elaborate on the challenges facing the European Central Bank and discuss potential implications for institutional investors.