TY - JOUR T1 - Factor Investing in Sovereign Bond Markets: Deep Sample Evidence JF - The Journal of Portfolio Management DO - 10.3905/jpm.2021.1.311 SP - jpm.2021.1.311 AU - Guido Baltussen AU - Martin Martens AU - Olaf Penninga Y1 - 2021/11/19 UR - https://pm-research.com/content/early/2021/11/19/jpm.2021.1.311.abstract N2 - The authors examine government bond factor premiums in a deep global sample from 1800 to 2020, spanning the major markets and maturities. Bond factors (value, momentum, low-risk) offer attractive premiums that do not decay across samples, are persistent over time, and are consistent across various market and macroeconomic scenarios. The factor premiums are diversified to each other, as well as to bond or equity market risks. A combined multifactor bond strategy provides the strongest risk-adjusted returns. These results strongly show a consistent added value of government bond factor premiums over a passive bond portfolio. ER -