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Working Paper

Modeling Corporate Bond Returns

December 2, 2020 - Bryan T. Kelly Diogo Palhares Seth Pruitt

We propose a new conditional factor model for corporate bond returns with four factors and time-varying factor loadings instrumented by observable bond characteristics. We find our factor model excels in describing the risks and returns of corporate bonds, improving over previously proposed models in the literature by a large margin.

Journal Article

Style Investing in Fixed Income

March 15, 2018 - Jordan Brooks Diogo Palhares Scott A. Richardson

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.