Style Investing in Fixed Income

36 Pages Posted: 6 Mar 2018

See all articles by Jordan Brooks

Jordan Brooks

AQR Capital Management, LLC

Diogo Palhares

AQR Capital Management, LLC

Scott A. Richardson

AQR Capital Management, LLC; London Business School

Date Written: February 12, 2018

Abstract

Style investing has become part of the investing nomenclature for equity markets. To date, despite the massive size of fixed income markets, little research has examined the efficacy of style-based investing in fixed income. In this paper we summarize a common style based framework for capturing excess returns for both government and corporate bonds. Importantly, from an investor perspective, these style based excess returns are highly diversifying with respect to the classic risk premia in fixed income markets (i.e., term premium and credit risk premium) and exhibit low macroeconomic sensitivities.

Keywords: fixed income, style investing, government bonds, corporate bonds

JEL Classification: G12, G14, M41

Suggested Citation

Brooks, Jordan and Palhares, Diogo and Richardson, Scott Anthony, Style Investing in Fixed Income (February 12, 2018). Journal of Portfolio Management, Forthcoming. Available at SSRN: https://ssrn.com/abstract=3130245

Jordan Brooks

AQR Capital Management, LLC ( email )

Greenwich, CT
United States

Diogo Palhares (Contact Author)

AQR Capital Management, LLC ( email )

Greenwich, CT
United States

Scott Anthony Richardson

AQR Capital Management, LLC ( email )

Greenwich, CT
United States

London Business School ( email )

Sussex Place
Regent's Park
London, London NW1 4SA
United Kingdom

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