Showing 1 - 10 of 122 results for 'Fixed Income'

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Systematic Fixed Income: Introduction

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

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.


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.

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.

Alternative Thinking

The Illusion of Active Fixed Income Alpha

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.


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.


AQR Launches Core Plus Fixed Income Mutual Fund

AQR has launched its Core Plus Bond Fund.


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.

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.