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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.

Journal Article

Active Fixed Income Illusions

December 17, 2019 - Jordan Brooks Tony Gould Scott A. Richardson

Across a broad set of popular active fixed income categories, we find that passive exposures to traditional risk premia (especially exposure to credit risk) explain the majority of fixed income manager active returns.

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.

Journal Article

Style Investing in Fixed Income

March 15, 2018 - Jordan Brooks Diogo Palhares Scott A. Richardson

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

December 7, 2017 - AQR Capital Management

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

April 1, 2016 - Jordan Brooks Scott A. Richardson

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.

Alternative Thinking

The Illusion of Active Fixed Income Alpha

December 17, 2018 - AQR Capital Management

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.

Journal Article

How Well Does Duration Measure Interest Rate Risk?

March 1, 1992 - Antti Ilmanen

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

Journal Article

The Value Of Duration as a Risk Measure for Corporate Debt

June 1, 1994 - Antti Ilmanen Donald McGuire Arthur D. Warga

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

Journal Article

When Do Bond Markets Reward Investors for Interest Rate Risk?

December 1, 1996 - Antti Ilmanen

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