Carry Investing on the Yield Curve
Financial Analysts Journal, Forthcoming
20 Pages Posted: 13 Jul 2016 Last revised: 10 Jul 2019
Date Written: July 12, 2016
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: Suggested Citation