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Investing in US Core Fixed Income with Macro and Style Factors

Eugene Pauksta, Karishma Kaul, Tom Parker, Scott Radell and Andrew Ang
The Journal of Portfolio Management Quantitative Special Issue 2022, 48 (2) 45-65; DOI: https://doi.org/10.3905/jpm.2021.1.309
Eugene Pauksta
is a director at BlackRock in San Francisco, CA
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Karishma Kaul
is a director at BlackRock in San Francisco, CA
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Tom Parker
is a managing director at BlackRock in San Francisco, CA
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Scott Radell
is a managing director at BlackRock in San Francisco, CA
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Andrew Ang
is a managing director at BlackRock in New York, NY
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Article Information

vol. 48 no. 2 45-65
DOI 
https://doi.org/10.3905/jpm.2021.1.309

Published By 
Pageant Media Ltd
Print ISSN 
0095-4918
Online ISSN 
2168-8656
History 
  • Published online January 3, 2022.

Article Versions

  • Latest version (November 12, 2021 - 22:29).
  • Latest version (November 17, 2021 - 06:53).
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© 2021 Pageant Media Ltd

Author Information

  1. Eugene Pauksta
    1. is a director at BlackRock in San Francisco, CA. (eugene.pauksta{at}blackrock.com)
  2. Karishma Kaul
    1. is a director at BlackRock in San Francisco, CA. (karishma.kaul{at}blackrock.com)
  3. Tom Parker
    1. is a managing director at BlackRock in San Francisco, CA. (tom.parker{at}blackrock.com)
  4. Scott Radell
    1. is a managing director at BlackRock in San Francisco, CA. (scott.radell{at}blackrock.com)
  5. Andrew Ang
    1. is a managing director at BlackRock in New York, NY. (andrew.ang{at}blackrock.com)
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The Journal of Portfolio Management: 48 (2)
The Journal of Portfolio Management
Vol. 48, Issue 2
Quantitative Special Issue 2022
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Investing in US Core Fixed Income with Macro and Style Factors
Eugene Pauksta, Karishma Kaul, Tom Parker, Scott Radell, Andrew Ang
The Journal of Portfolio Management Dec 2021, 48 (2) 45-65; DOI: 10.3905/jpm.2021.1.309

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Investing in US Core Fixed Income with Macro and Style Factors
Eugene Pauksta, Karishma Kaul, Tom Parker, Scott Radell, Andrew Ang
The Journal of Portfolio Management Dec 2021, 48 (2) 45-65; DOI: 10.3905/jpm.2021.1.309
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  • Article
    • Abstract
    • DATA
    • MACRO FACTOR TILTS
    • TIME-VARYING MACRO FACTORS
    • STYLE FACTORS
    • OPTIMAL FACTOR BOND PORTFOLIO
    • CONCLUSION
    • ACKNOWLEDGMENTS
    • ENDNOTES
    • REFERENCES
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