Alternative Thinking 4Q 2017: The Illusion of Active Fixed Income Diversification

December 07, 2017
  • Contributors:

    AQR Capital Management
  • Topic:

    Fixed Income, Credit, Risk Management
We examine popular active fixed income categories (Global Aggregate, U.S. Core-Plus, and Unconstrained Bond) and find that a persistent overweight to high yield credit explains the majority of fixed-income managers’ active returns. We then discuss some key implications for asset owners.


  • The views and opinions expressed herein are those of the author and do not necessarily reflect the views of AQR Capital Management, LLC, its affiliates or its employees.
  • The information contained herein is only as current as of the date indicated, and may be superseded by subsequent market events or for other reasons. Neither the author nor AQR undertakes to advise you of any changes in the views expressed herein.
  • This information is not intended to, and does not relate specifically to any investment strategy or product that AQR offers. It is being provided merely to provide a framework to assist in the implementation of an investor’s own analysis and an investor’s own view on the topic discussed herein.
  • Past performance is no guarantee of future results.
  • Certain publications may have been written prior to the author being an employee of AQR.