Showing 1 - 10 of 113 results for 'Fixed Income'

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Alternative Thinking

Style Investing in Fixed Income

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.

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.

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.

Alternative Thinking

The Illusion of Active Fixed Income Diversification

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.

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

How Well Does Duration Measure Interest Rate Risk?

Fixed-income managers use duration to measure the risk of their portfolios.

Journal Article

When Do Bond Markets Reward Investors for Interest Rate Risk?

Fixed-income portfolio managers pay considerable attention to risk/return tradeoffs.

Journal Article

The Value Of Duration as a Risk Measure for Corporate Debt

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

News

AQR Launches Core Plus Fixed Income Mutual Fund

AQR has launched its Core Plus Bond Fund.

News

AQR Researcher Presents Fixed-Income Papers at London Conference

AQR Managing Director Scott Richardson presented his two most recent research papers on fixed-income investing at the 12th annual Bernstein Quantitative Finance Conference in London on March 19. One paper, “Investing With Style in Corporate Bonds,” identifies four key style measures — carry, defensive, momentum, and value — that together explain nearly 20% of the cross-sectional variation in corporate bond excess returns.