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Journal Article

The Value Of Duration as a Risk Measure for Corporate Debt

Duration is the primary risk measure for fixed-income portfolio managers.

Interview

Meet the Expert: Jordan Brooks on Systematic Fixed Income

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

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

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

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

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

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

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

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

Forecasting economic and market conditions is no easy task.