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Emerging Government Bond Market Timing

Johan Duyvesteyn and Martin Martens
The Journal of Fixed Income Winter 2014, 23 (3) 36-49; DOI: https://doi.org/10.3905/jfi.2013.23.3.036
Johan Duyvesteyn
is a senior fixed-income researcher in the Quantitative Strategies Department at Robeco Asset Management in Rotterdam, the Netherlands.
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  • For correspondence: j.duyvesteyn@robeco.nl
Martin Martens
is an associate professor in the Erasmus School of Economics at Erasmus University and head of fixed-income research at Robeco Asset Management in Rotterdam, the Netherlands.
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  • For correspondence: mmartens@ese.eur.nl
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Abstract

Excess bond returns in developed markets are predictable using factors like bond momentum, equity momentum, and term spread. The authors show the same factors can also predict the interest rates of emerging government debt issued in local currency. An investment strategy based on the three factors delivers 1.2% outperformance per year after transaction costs. They also show that emerging local currency debt excess returns have a correlation of 31% with U.S. Treasury returns, and a correlation of just 6% with U.S. high-yield credit excess returns. These results indicate that emerging market local currency debt yields behave more like developed government bond debt and less like credits.

TOPICS: Fixed income and structured finance, factor-based models, developed

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The Journal of Fixed Income: 23 (3)
The Journal of Fixed Income
Vol. 23, Issue 3
Winter 2014
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Emerging Government Bond Market Timing
Johan Duyvesteyn, Martin Martens
The Journal of Fixed Income Dec 2013, 23 (3) 36-49; DOI: 10.3905/jfi.2013.23.3.036

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Emerging Government Bond Market Timing
Johan Duyvesteyn, Martin Martens
The Journal of Fixed Income Dec 2013, 23 (3) 36-49; DOI: 10.3905/jfi.2013.23.3.036
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  • Article
    • Abstract
    • METHODOLOGY
    • DATA
    • PREDICTING EXCESS BOND RETURNS
    • TAKING INTO ACCOUNT TRANSACTION COSTS
    • GLOBAL OR LOCAL BOND MOMENTUM
    • EM LOCAL CURRENCY DEBT VIS-À-VIS EM USD DEBT
    • CONCLUSION
    • APPENDIX A
    • ENDNOTES
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