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Book
Consistency of Carry Strategies in Europe
September 1, 2003
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.
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.
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
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
The Credit Risk Premium
January 15, 2017
Using data spanning 80 years in the U.S. and nearly 20 years in Europe, the authors of this paper find what they characterize as strong evidence of credit risk premium after correctly adjusting for term risk.
Journal Article
Credit Markets and Financial Information
September 1, 2011
Lakshmanan Shivakumar, Oktay Urcan, Florin P.
Alternative Thinking
The Illusion of Active Fixed Income Alpha
December 17, 2018
Do fixed income (FI) managers generate alpha? We take a deep dive into the determinants of excess of benchmark returns for a broad set of popular active FI categories.
Alternative Thinking
The Illusion of Active Fixed Income Diversification
December 7, 2017
We examine popular active fixed income categories 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.
Alternative Thinking
Style Investing in Fixed Income
3Q 2016
Systematic investing is often applied in equity markets but less so in fixed income. Here, we show that classic-style premia—typically applied in stock selection and equity country allocation—could have also work in fixed income markets.
Journal Article
Common Factors in Corporate Bond and Bond Fund Returns
March 1, 2018
This paper undertakes a comprehensive analysis of cross-sectional determinants of corporate bond excess returns. We find strong evidence of positive risk-adjusted returns to measures of carry, defensive, momentum and value.