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Journal Article
The Value Of Duration as a Risk Measure for Corporate Debt
June 1, 1994
Duration is the primary risk measure for fixed-income portfolio managers.
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
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.
Interview
Cliff Asness on Bloomberg Television
May 8, 2018
Cliff Asness was interviewed on Bloomberg Television about AQR’s expansion into fixed income. The segment focused on our diversified, factor-based approach relative to traditional fixed income portfolios.
Journal Article
Stocks vs. Bonds: Explaining the Equity Risk Premium
March 1, 2000
From the 19th century through the mid-20th century, the dividend yield (dividends/price) and earnings yield (earnings/price) on stocks generally exceeded the yield on long-term U.S.
Journal Article
Quantitative Forecasting Models and Active Diversification for International Bonds
December 1, 2002
Extensive empirical evidence documents relatively consistent if modest predictability in excess bond returns and excess currency returns.
Journal Article
OAS Models, Expected Returns and a Steep Yield Curve
January 1, 1993
An upward-sloping yield curve indicates that either investors expect rates to rise or they require a higher expected return on longer-term securities.
Journal Article
Modeling Sovereign Yield Spreads: A Case Study of Russian Debt
February 1, 2003
In this paper, we construct a model for pricing sovereign debt that accounts for the risks of both default and restructuring, and allows for compensation for illiquidity.
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.
Journal Article
Exploring Macroeconomic Sensitivities
April 2, 2014
Forecasting economic and market conditions is no easy task.