PT - JOURNAL ARTICLE AU - Guido Baltussen AU - Martin Martens AU - Olaf Penninga TI - Factor Investing in Sovereign Bond Markets: Deep Sample Evidence AID - 10.3905/jpm.2021.1.311 DP - 2021 Dec 31 TA - The Journal of Portfolio Management PG - 209--225 VI - 48 IP - 2 4099 - https://pm-research.com/content/48/2/209.short 4100 - https://pm-research.com/content/48/2/209.full AB - 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.