Rates factors and global asset allocation

Kothe, Joshua and Lohre, Harald and Rother, Carsten (2021) Rates factors and global asset allocation. Journal of Fixed Income, 30 (3). pp. 6-25. ISSN 1059-8596

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Abstract

Style factors that are prominent in other asset classes, such as carry, value, momentum, and defensive, do extend to the fixed income domain as well. We investigate factor investing across global government bonds and the use of such rates factors for a multi-asset investor. These rates factors significantly improve the investment opportunity set of investors, representing valuable tail hedges and offering diversification potential. Furthermore, complementing conservative multi-asset strategies by rates factors can enhance returns and reduce the likelihood and severity of downturns not only in-sample, but also in out-of-sample portfolio simulations.

Item Type:
Journal Article
Journal or Publication Title:
Journal of Fixed Income
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/asjc/2000/2002
Subjects:
ID Code:
160326
Deposited By:
Deposited On:
06 Oct 2021 14:00
Refereed?:
Yes
Published?:
Published
Last Modified:
20 Oct 2021 06:12