White Paper
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.
Read moreWorking Paper
July 1, 2019
We find that credit long/short managers tend to have high passive exposure to the credit risk premium. In contrast, we find that high-yield-focused long-only managers provide less exposure to the credit risk premium than their respective benchmarks.
Read moreAlternative Thinking
December 17, 2018
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.
Read moreJournal Article
March 8, 2018
Do investors demand a risk premium for holding less liquid corporate bonds? We investigate the evidence.
Read moreJournal Article
March 15, 2018
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.
Read moreAlternative Thinking
December 7, 2017
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.
Read moreJournal Article
March 1, 2018
This paper undertakes a comprehensive analysis of cross-sectional determinants of corporate bond excess returns. We find strong evidence of positive risk-adjusted returns to measures of carry, defensive, momentum and value.
Read moreJournal Article
April 1, 2016
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.
Read moreWe explain five commonly distinguished areas of Enterprise Risk: market and liquidity risk, counterparty risk, model risk, operational risk, and technology risk.
Read moreWe delve deeper into topics relevant to fixed income markets. What is the credit risk premium? And how are active bond managers actually investing today?
Read moreThis information is for informational purposes only and not intended to, and does not relate specifically to any investment strategy or product that AQR offers. It is being provided merely to provide a framework to assist in the implementation of an investor’s own analysis and an investor’s own view on the topic discussed herein.
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