RT Journal Article
SR Electronic
T1 Factor Approach to Fixed Income Allocation
JF The Journal of Investing
FD Institutional Investor Journals
SP 74
OP 84
DO 10.3905/joi.2016.25.1.074
VO 25
IS 1
A1 Ramu Thiagarajan
A1 Douglas J. Peebles
A1 Sonam Leki Dorji
A1 Jiho Han
A1 Chris Wilson
YR 2016
UL https://pm-research.com/content/25/1/74.abstract
AB 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