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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.

White Paper

A Half Century of Macro Momentum

"Macro momentum has the potential to deliver strong positive returns with low correlation to traditional asset classes across macroeconomic and market environments. It may also provide diversification benefits in bear equity markets and rising yield environments. "

Working Paper

The Complexity of Liquidity: The Extraordinary Case of Sovereign Bonds

We analyze the cross-section of developed countries’ bond spreads.We show that under certain conditions, especially credit deterioration and flight to quality, new issue, and more liquid, bond spreads tighten and become cheaper, not more expensive, relative to their less liquid counterparts.

Systematic Fixed Income: Introduction

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

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.

White Paper

Eurozone Inflation Update: Will ECB Actions Match Its Rhetoric?

As inflation concerns take center stage in Europe, we elaborate on the challenges facing the European Central Bank and discuss potential implications for institutional investors.

Working Paper

(Systematic) Investing in Emerging Market Debt

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.

Interview

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.

Journal Article

Active Fixed Income Illusions

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.