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Systematic Fixed Income: Introduction

October 9, 2018 - Jordan Brooks

Systematic fixed income takes a rigorous, repeatable approach to investing in bonds.

Perspective

Fixed Income Fantasies

December 8, 2017 - Cliff Asness

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.

Alternative Thinking

Style Premia / Bond Returns

3Q 2013 - AQR Capital Management

We review how style premia have historically generated attractive long-run returns in virtually every place we have studied them, and may help reduce risk through better diversification. We then look at fixed income returns in different environments

White Paper

Systematic Credit Investing

November 18, 2016 - April Frieda Scott A. Richardson

This paper aims to increase familiarity of the credit asset class and provide an overview of our approach to systematic credit investing. We introduce credit instruments and outline a framework for understanding sources of credit excess returns.

Working Paper

The Complexity of Liquidity: The Extraordinary Case of Sovereign Bonds

August 1, 2016 - Jacob Boudoukh Jordan Brooks Matthew P. Richardson Zhikai Xu

We analyze the cross-section of developed countries’ bond spreads.We show that under certain conditions, especially credit deterioration and flight to quality, new issue, and more liquid, bond spreads tighten and become cheaper, not more expensive, relative to their less liquid counterparts.

Working Paper

Financing Investment With Long-Term Debt and Uncertainty Shocks

February 6, 2012 - Michael Michaux Francois Gourio

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.

Journal Article

Forecasting U.S. Bond Returns

June 1, 1997 - Antti Ilmanen

It is difficult to forecast bond market fluctuations, although some research shows that these fluctuations are not fully unpredictable: It is possible to identify in advance periods when the reward for duration extension is likely to be abnormally high or abnormally low. In this article, we first describe a few variables that have the ability to predict near-term bond market performance.

Journal Article

Dynamics of the Shape of the Yield Curve

September 1, 1997 - Antti Ilmanen Ray Iwanowski

In this article, we examine two broad questions about yield-curve behavior: How to interpret the steepness and curvature of the curve on a given day? And how does the yield curve evolve over time? Yield curve shape reflects the market’s rate expectations, required bond risk premiums, and convexity bias.

Journal Article