TY - JOUR T1 - Factor Approach to Fixed Income Allocation JF - The Journal of Investing SP - 74 LP - 84 DO - 10.3905/joi.2016.25.1.074 VL - 25 IS - 1 AU - Ramu Thiagarajan AU - Douglas J. Peebles AU - Sonam Leki Dorji AU - Jiho Han AU - Chris Wilson Y1 - 2016/02/29 UR - https://pm-research.com/content/25/1/74.abstract N2 - This article outlines the application of a systematic factor approach to fixed income investment/risk management. We show that using a parsimonious set of factors explains the returns in fixed income portfolios very well. In turn, this implies that forecasting the returns for these parsimonious factors is an efficient and targeted approach to active management. We further show that it is possible to create a portfolio with balanced exposure to the identified risk factors that, in turn, provides a framework for evaluating the efficacy of active management.TOPICS: Analysis of individual factors/risk premia, fixed income and structured finance ER -