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Data Set

Credit Risk Premium: Preliminary Paper Data

This data set is related to “Credit Risk Premium: Its Existence and Implications for Asset Allocation." Using data from both cash bond markets (1927–2014) and synthetic CDS markets (2004–2014), we document evidence of a sizable credit risk premium.


Interest Rate Limbo

We investigate why investors might want bonds in their portfolios, even in a low-yield environment.

Journal Article

When Do Bond Markets Reward Investors for Interest Rate Risk?

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

Journal Article

Common Factors in Corporate Bond and Bond Fund Returns

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.

Journal Article

How Well Does Duration Measure Interest Rate Risk?

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

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

Systematic Fixed Income: Introduction

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

Journal Article

What Really Happened to U.S. Bond Yields

Long-term U.S.

Journal Article

On the Distribution of Financial Futures Price Changes

Among the victims of the October 1987 market crash were the popular and convenient assumptions of nearly continuous and normally distributed price change processes.


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.