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

(Systematic) Investing in Emerging Market Debt

Jordan Brooks, Scott Richardson and Zhikai Xu
The Journal of Fixed Income Fall 2020, 30 (2) 44-61; DOI: https://doi.org/10.3905/jfi.2020.1.088
Jordan Brooks
is at AQR Capital Management LLC in Greenwich, CT
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
Scott Richardson
is a professor at the London Business School and is affiliated with AQR Capital Management LLC in Greenwich, CT
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
Zhikai Xu
is at AQR Capital Management LLC in Greenwich, CT
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • 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

The authors extend the analysis of systematic investment approaches to emerging market (EM) fixed income. They focus on hard currency bonds issued by emerging sovereign and quasi-sovereign entities. They find that systematic exposures linked to carry, defensive, momentum, and valuation themes are well compensated and lowly correlated in EM markets. A transaction-cost and liquidity aware long-only portfolio generates an information ratio above 1. They further show that an excess of benchmark returns for a broad set of EM managers is (i) largely explained by passive exposures to EM corporate credit excess returns and EM local currency returns, and (ii) has nontrivial macroeconomic exposures (growth, inflation, volatility, and liquidity). A systematic approach to EM debt may be a powerful diversifier.

TOPICS: Emerging markets, currency

Key Findings

  • • We find that a systematic approach to active risk taking “works” in emerging market (EM) fixed income. Exposures linked to carry, defensive, momentum and valuation themes have been well compensated in EM markets.

  • • We further find that an excess of benchmark returns for incumbent EM managers contains a lot of traditional beta and significant macroeconomic sensitivities.

  • • There is potentially a large diversification benefit for a well-crafted systematic long-only portfolio of EM bonds.

  • © 2020 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: 30 (2)
The Journal of Fixed Income
Vol. 30, Issue 2
Fall 2020
  • Table of Contents
  • Index by author
  • Complete Issue (PDF)
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.
(Systematic) Investing in Emerging Market Debt
(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
(Systematic) Investing in Emerging Market Debt
Jordan Brooks, Scott Richardson, Zhikai Xu
The Journal of Fixed Income Sep 2020, 30 (2) 44-61; DOI: 10.3905/jfi.2020.1.088

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
(Systematic) Investing in Emerging Market Debt
Jordan Brooks, Scott Richardson, Zhikai Xu
The Journal of Fixed Income Sep 2020, 30 (2) 44-61; DOI: 10.3905/jfi.2020.1.088
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 AND METHODOLOGY
    • RESULTS
    • CONCLUSION
    • ACKNOWLEDGMENTS
    • ADDITIONAL READING
    • REFERENCES
  • Info & Metrics
  • PDF (Subscribers Only)
  • PDF (Subscribers Only)

Similar Articles

Cited By...

  • Factor Investing in Emerging Market Credits
  • 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