Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JFI
    • Editorial Board
    • Published Ahead of Print (PAP)
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

User menu

  • Sample our Content
  • Request a Demo
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Fixed Income
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Request a Demo
  • Log in
The Journal of Fixed Income

The Journal of Fixed Income

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JFI
    • Editorial Board
    • Published Ahead of Print (PAP)
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

Low-Risk Anomalies in Global Fixed Income: Evidence from Major Broad Markets

Raul Leote de Carvalho, Patrick Dugnolle, Xiao Lu and Pierre Moulin
The Journal of Fixed Income Spring 2014, 23 (4) 51-70; DOI: https://doi.org/10.3905/jfi.2014.23.4.051
Raul Leote de Carvalho
is head of quantitative strategies and research for financial engineering at BNP Paribas Investment Partners in Paris, France.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: raul.leotedecarvalho@bnpparibas.com
Patrick Dugnolle
is head of fixed income for financial engineering at BNP Paribas Investment Partners in Paris, France.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: patrick.dugnolle@bnpparibas.com
Xiao Lu
is a quantitative analyst for financial engineering at BNP Paribas Investment Partners in Paris, France.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: xiao.lu@bnpparibas.com
Pierre Moulin
is head of financial engineering at BNP Paribas Investment Partners in Paris, France.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: pierre.moulin@bnpparibas.com
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Click to login and read the full article.

Don’t have access? Click here to request a demo 
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600

Abstract

This article presents the most compelling empirical evidence yet of a low-risk anomaly in fixed-income markets. The authors show that portfolios invested in bonds with the lowest risk would have delivered the largest positive alpha and highest Sharpe ratios, and portfolios invested in riskier bonds would have delivered the most negative alpha and lowest Sharpe ratios. The results proved extremely robust and were confirmed for government bonds, quasi-government and foreign government bonds, securitized and collateralized bonds, corporate investment-grade bonds, corporate high-yield bonds, emerging market bonds, and aggregates of some of these universes. They considered bonds denominated in USD, EUR, GBP, and JPY separately, and the results proved invariant to the currency. The authors confirmed the robustness of the results by using different measures of risk. The results were produced using data from the Bank of America Merrill Lynch database from January 1997, which includes 85,442 individual bonds in the 192 months analyzed.

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

  • © 2014 Pageant Media Ltd
View Full Text

Don’t have access? Click here to request a demo

Alternatively, Call a member of the team to discuss membership options

US and Overseas: +1 646-931-9045

UK: 0207 139 1600

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Fixed Income: 23 (4)
The Journal of Fixed Income
Vol. 23, Issue 4
Spring 2014
  • Table of Contents
  • Index by author
Print
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Fixed Income.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Low-Risk Anomalies in Global Fixed Income: Evidence from Major Broad Markets
(Your Name) has sent you a message from The Journal of Fixed Income
(Your Name) thought you would like to see the The Journal of Fixed Income web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Low-Risk Anomalies in Global Fixed Income: Evidence from Major Broad Markets
Raul Leote de Carvalho, Patrick Dugnolle, Xiao Lu, Pierre Moulin
The Journal of Fixed Income Mar 2014, 23 (4) 51-70; DOI: 10.3905/jfi.2014.23.4.051

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Low-Risk Anomalies in Global Fixed Income: Evidence from Major Broad Markets
Raul Leote de Carvalho, Patrick Dugnolle, Xiao Lu, Pierre Moulin
The Journal of Fixed Income Mar 2014, 23 (4) 51-70; DOI: 10.3905/jfi.2014.23.4.051
del.icio.us logo Digg logo Reddit logo Twitter logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
    • Abstract
    • DATA
    • METHODOLOGY
    • CONCLUSIONS
    • REFERENCES
  • Info & Metrics
  • PDF

Similar Articles

Cited By...

  • Carry Strategies and the US Dollar Risk of US and Global Bonds
  • Factor Investing in Credit
  • Does Factor Investing Improve Investor Welfare? A Multi-Asset Perspective
  • Beyond Carry and Momentum in Government Bonds
  • Factor Investing in Corporate Bond Markets: Enhancing Efficacy Through Diversification and Purification!
  • The Volatility Effect Revisited
  • Residual Equity Momentum Spillover in Global Corporate Bond Markets
  • Reach for Safety
  • The Risk Parity Principle Applied to a Corporate Bond Index
  • Quality Assurance: Demystifying the Quality Factor in Equities and Bonds
  • Google Scholar
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

MORE FROM PMR

  • Home
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Log in
  • Update your Profile
  • Give us your feedback

© 2022 Pageant Media Ltd | All Rights Reserved | ISSN: 1059-8596 | E-ISSN: 2168-8648

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies