RT Journal Article
SR Electronic
T1 Factor Investing in Sovereign Bond Markets: Deep Sample Evidence
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 209
OP 225
DO 10.3905/jpm.2021.1.311
VO 48
IS 2
A1 Guido Baltussen
A1 Martin Martens
A1 Olaf Penninga
YR 2021
UL https://pm-research.com/content/48/2/209.abstract
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.