Alternative Thinking: Style Investing in Fixed Income (Third Quarter 2016)

August 19, 2016
  • Contributors:

    AQR Capital Management
  • Topic:

    Style Investing, Fixed Income

Alternative Thinking Quarterly

Systematic style investing is increasingly popular in equity markets but much less frequently applied in fixed income markets. In this paper, we show that the classic style premia that have been applied to stock selection and equity country allocation — value, momentum, carry, and defensive — could have also performed well in fixed income markets, whether in selecting government bonds or corporate bonds. Fixed income may be the next frontier for style investing.

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