Factor Investing in Sovereign Bond Markets: Deep Sample Evidence
A 2021 paper by Baltussen, Martens and Penninga on factor investing in bonds and credit: the abstract mentions excess returns and leaves out a benchmark, an out-of-sample test, transaction costs, multiple testing and the size of the universe.
“A combined multi-factor bond strategy provides the strongest risk-adjusted returns.”
AssetBonds and creditbonds
StrategyFactor investingmomentum
GeographyGlobal
ClaimExcess return
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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| A Factor Approach to Smart Beta Development in Fixed Income by Staal et al. | 2015 |