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Working Paper

Modeling Corporate Bond Returns

We propose a new conditional factor model for corporate bond returns with four factors and time-varying factor loadings instrumented by observable bond characteristics. We find our factor model excels in describing the risks and returns of corporate bonds, improving over previously proposed models in the literature by a large margin.

Chief Investment Quarterly

Actuarial Games Aren't Much Fun for Plan Participants

Public pension investment performance has been strong and more plan sponsors are making the contributions they calculate, but funded status has gotten worse. To resolve the funding paradox, we point out some less well known, but important causes of this problem.

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.