Carry Investing on the Yield Curve

20 Pages Posted: 13 Jul 2016

See all articles by Paul Beekhuizen

Paul Beekhuizen

Robeco Asset Management

Johan G. Duyvesteyn

Robeco Asset Management

Martin Martens

Erasmus University Rotterdam (EUR); Robeco Asset Management

Casper Zomerdijk

Robeco Asset Management

Date Written: July 12, 2016

Abstract

We investigate two yield curve strategies: Curve carry selects bond maturities based on carry and betting-against-beta always selects the shortest maturities. We investigate these strategies for international bond markets. We find that the global curve carry factor has strong performance that cannot be explained by other factors. For betting-against-beta, however, this depends on the assumed funding rate. We also show that the betting-against-beta strategy has no added value for an investor that already invests in curve carry.

Keywords: Carry, Predictability, Betting-Against-Beta, Government Bonds

JEL Classification: E47, G12, G14, G17

Suggested Citation

Beekhuizen, Paul and Duyvesteyn, Johan G. and Martens, Martin P.E. and Zomerdijk, Casper, Carry Investing on the Yield Curve (July 12, 2016). Available at SSRN: https://ssrn.com/abstract=2808327 or http://dx.doi.org/10.2139/ssrn.2808327

Paul Beekhuizen

Robeco Asset Management ( email )

Rotterdam, 3011 AG
Netherlands

Johan G. Duyvesteyn

Robeco Asset Management ( email )

Rotterdam, 3011 AG
Netherlands

Martin P.E. Martens (Contact Author)

Erasmus University Rotterdam (EUR) ( email )

P.O. Box 1738
3000 DR Rotterdam
Netherlands
+31 10 408 1253 (Phone)
+31 10 408 9162 (Fax)

Robeco Asset Management ( email )

Rotterdam, 3011 AG
Netherlands

Casper Zomerdijk

Robeco Asset Management ( email )

Rotterdam, 3011 AG
Netherlands

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