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White Paper
Bond Market Focus: Yield Curves and Mean Reverting Rate Expectations
October 7, 2025
Part 9: The yield curve largely reflects investors’ tendency to expect rates to revert toward past norms. This paper highlights how this pattern explains both the predictive power and the persistent forecasting missteps in bond markets.
White Paper
Bond Market Focus: Understanding Treasury Yields with Survey Data
September 17, 2025
Part 8: This paper explores how survey data can decompose U.S. Treasury yields into inflation expectations, real rate expectations, and required bond risk premia. The analysis highlights how these components have evolved since the 1980s and the risks posed by today’s policy challenges to anchored inflation expectations.
White Paper
Why Are Bond Investors Contrarian While Equity Investors Extrapolate?
May 27, 2025
Part 3: This article explores the contrast in how investors form long-run expectations in equity and bond markets. It also examines very long run trends in financial market variables and potential implications for the future.
Working Paper
Corporate Bond Factors: Replication Failures and a New Framework
October 5, 2023
We demonstrate that the literature on corporate bond factors suffers from replication failures, inconsistent methodological choices, and the lack of a common error-free dataset. Going beyond identifying this replication crisis, we create a clean database of corporate bond returns where outliers are analyzed individually and propose a robust factor construction.
Quick Takes
Quick Clips: The Stock/Bond Correlation
Q2 2022
For the past two decades, the stock/bond correlation (SBC) has been consistently negative, and investors have been able to rely on their bond investments for portfolio protection when equities sell off. However, macroeconomic changes – like heightened inflation risk – could push this key asset allocation input into positive territory.
Journal Article
A Changing Stock-Bond Correlation
Q1 2023
For the past two decades, the stock/bond correlation – a fundamental detriment of risk in traditional portfolios – has been consistently negative. However, this hasn’t always been the case, and a positive stock/bond correlation could reappear due to macroeconomic changes. In this article, we assess the broad implications this would have for investors and set out practical steps to prepare for such an outcome.
Journal Article
Sustainable Systematic Credit
September 7, 2021
Interest in sustainable investing is now expanding into fixed income. This paper assesses how measures of sustainability/ESG might be relevant for corporate bonds and analyzes how ESG measures can be incorporated into an investment process to achieve the joint object of maximizing risk-adjusted returns and a sustainability target.
White Paper
What Drives Bond Yields?
July 26, 2021
In this overview of the various factors that influence government bond yields, we show that both in theory and in the data, non-monetary policy factors drive significant variation in yields, particularly at longer maturities. Despite the exceptionally low yield environments we have witnessed, fundamentals continue to drive bond markets.
Working Paper
Modeling Corporate Bond Returns
December 2, 2020
We propose a new conditional factor model for corporate bond returns with four factors and time-varying factor loadings instrumented by observable bond characteristics. We find our factor model excels in describing the risks and returns of corporate bonds, improving over previously proposed models in the literature by a large margin.
Journal Article
(Systematic) Investing in Emerging Market Debt
March 4, 2020
We extend the analysis of systematic investment approaches to emerging market (EM) fixed income. We find that systematic exposures linked to carry, defensive, momentum and valuation themes are well compensated and lowly correlated in EM markets, and that a systematic approach to EM debt may be a powerful diversifier.