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Data Set

Credit Risk Premium: Preliminary Paper Data

This data set is related to “Credit Risk Premium: Its Existence and Implications for Asset Allocation." Using data from both cash bond markets (1927–2014) and synthetic CDS markets (2004–2014), we document evidence of a sizable credit risk premium.

Book

The Valuation of PAC Bonds Without Complex Models

Using static yields on mortgage securities is insufficient to make good investment choices. We present a simple model that can be useful in identifying value across at least one popular class of CMO securities: the Planned Amortization Class bond.

Book

Consistency of Carry Strategies in Europe

In this chapter, we focus on strategies in the European bond market that shift money from government bonds to higher-yielding credits. While most carry strategies seem to add value in the long run, some strategies appear more risky than others.

Book

Fundamental Differences Between Agency and Non-Agency Mortgage-Backed Securities

There are many differences between agency and non-agency mortgage-backed securities, which can affect our opinion about their relative value and risk. This chapter explains and illustrates these differences using a simple example.

Book

Forward Rates and CMO Portfolio Management

Forward rates, because of their perceived role in forecasting future interest rates, occupy a special place in fixed-income analysis. We focus on how forward rates are used in analyzing CMOs and discuss when usage is warranted and misguided.

Interview

Cliff Asness on Bloomberg Television

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.

Perspective

Repurchases are the Devil’s Work! (not…)

A seemingly large amount of stock buybacks in recent years has prompted many to claim that buybacks have come at the expense of new investment. Our latest paper shows why neither the theory nor the evidence supports this view.

Perspective

Fixed Income Fantasies

Active fixed income managers have had a really good run in recent decades, but is this success due to skill? We found that there is less alpha than people think due to long-term overweight to credit. But there is hope, and we explain why.

Working Paper

Corporate Bond Specialness

The U.S. bond market is a well-understood source of corporate financing, but research on its cash and lending markets is limited. Using a dataset of corporate bond-lending transactions, we shed light on drivers of shorting activity and shorting costs.

Working Paper

Financing Investment With Long-Term Debt and Uncertainty Shocks

This paper proposes a model of financing and investment for firms that attempts to explain both the weak correlation of Tobin’s Q with investment, and the higher correlation of bond yields with investment.