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Bond-Market Risk Factors and Manager Performance

Peter Mladina and Steven Germani
The Journal of Portfolio Management September 2019, 45 (6) 75-85; DOI: https://doi.org/10.3905/jpm.2019.45.6.075
Peter Mladina
is director of portfolio research at Northern Trust and an adjunct professor of economics at UCLA in Los Angeles, CA
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Steven Germani
is a senior investment research analyst at Northern Trust in Chicago, IL
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Abstract

The authors introduce a novel approach for jointly testing bond-market factor models and bond manager performance using the attributes of market efficiency as an ideal, or benchmark. In addition to proposing enhanced constructions of term and default factors, they find evidence for a prepayment risk factor. They also find that style premiums do not materially reduce alphas or explain much additional common variation in the returns of traded bond portfolios when they are added to term, default, and prepayment risk factors. A factor model with just term, default, and prepayment risk factors performs as well, but is more parsimonious and employs clear sources of systematic risk. The authors find evidence of factor-adjusted alpha in a very small subset of active bond managers.

TOPICS: Analysis of individual factors/risk premia, factor-based models, manager selection

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The Journal of Portfolio Management: 45 (6)
The Journal of Portfolio Management
Vol. 45, Issue 6
September 2019
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Bond-Market Risk Factors and Manager Performance
Peter Mladina, Steven Germani
The Journal of Portfolio Management Aug 2019, 45 (6) 75-85; DOI: 10.3905/jpm.2019.45.6.075

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Bond-Market Risk Factors and Manager Performance
Peter Mladina, Steven Germani
The Journal of Portfolio Management Aug 2019, 45 (6) 75-85; DOI: 10.3905/jpm.2019.45.6.075
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  • Article
    • Abstract
    • TERM AND DEFAULT FACTORS
    • MODEL AND MANAGER PERFORMANCE
    • PREPAYMENT RISK FACTOR
    • STYLE PREMIUMS
    • CONCLUSION
    • ADDITIONAL READING
    • ENDNOTES
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