RT Journal Article SR Electronic T1 Bond-Market Risk Factors and Manager Performance JF The Journal of Portfolio Management FD Institutional Investor Journals SP 75 OP 85 DO 10.3905/jpm.2019.45.6.075 VO 45 IS 6 A1 Peter Mladina A1 Steven Germani YR 2019 UL https://pm-research.com/content/45/6/75.abstract AB 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