RT Journal Article
SR Electronic
T1 Beyond Carry and Momentum in Government Bonds
JF The Journal of Fixed Income
FD Institutional Investor Journals
SP 48
OP 74
DO 10.3905/jfi.2020.1.085
VO 29
IS 4
A1 Jérôme Gava
A1 William Lefebvre
A1 Julien Turc
YR 2020
UL https://pm-research.com/content/29/4/48.abstract
AB This article revisits recent literature on factor investing in government bonds, in particular regarding the definition of value and defensive investing. Using techniques derived from machine learning, the authors identify the key drivers of government bond futures and the groups of factors that are most genuinely relevant. Beyond carry and momentum, the authors propose an approach to defensive investing that considers the safe-haven nature of government bonds. These two main styles may be complemented by value and a reversal factor in order to achieve returns independently from broad movements in interest rates.TOPICS: Analysis of individual factors/risk premia, factor-based models, style investing, fixed income and structured finance, big data/machine learningKey Findings• This article revisits recent literature on factor investing in government bonds, in particular regarding the definition of value and defensive investing.• Using techniques derived from machine learning, the authors identify the key drivers of government bond futures and the groups of factors that are most genuinely relevant.• Beyond carry and momentum, the authors propose an approach to defensive investing that considers the safe-haven nature of government bonds.