Brooks, J, Palhares, D and Richardson, S A (2018) Style investing in fixed income. Journal of Portfolio Management, 44 (4). pp. 127-139. ISSN 0095-4918
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 article, the authors 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 premiums in fixed-income markets (i.e., term premium and credit risk premium) and exhibit low macroeconomic sensitivities.
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Item Type: | Article |
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Subject Areas: | Accounting |
Additional Information: |
© 2018 Pageant Media Ltd |
Date Deposited: | 16 May 2018 13:20 |
Subjects: | Investment appraisal |
Last Modified: | 09 Oct 2024 00:42 |
URI: | https://lbsresearch.london.edu/id/eprint/978 |