PT - JOURNAL ARTICLE AU - Ramu Thiagarajan AU - Douglas J. Peebles AU - Sonam Leki Dorji AU - Jiho Han AU - Chris Wilson TI - Factor Approach to Fixed Income Allocation AID - 10.3905/joi.2016.25.1.074 DP - 2016 Feb 29 TA - The Journal of Investing PG - 74--84 VI - 25 IP - 1 4099 - https://pm-research.com/content/25/1/74.short 4100 - https://pm-research.com/content/25/1/74.full 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