{"title":"主权债券市场的要素投资:深度样本证据","authors":"Guido Baltussen,Martin Martens,Olaf Penninga","doi":"10.3905/jpm.2021.1.311","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":501547,"journal":{"name":"The Journal of Portfolio Management","volume":"29 1","pages":"209-225"},"PeriodicalIF":0.0000,"publicationDate":"2021-11-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Factor Investing in Sovereign Bond Markets: Deep Sample Evidence\",\"authors\":\"Guido Baltussen,Martin Martens,Olaf Penninga\",\"doi\":\"10.3905/jpm.2021.1.311\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"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.\",\"PeriodicalId\":501547,\"journal\":{\"name\":\"The Journal of Portfolio Management\",\"volume\":\"29 1\",\"pages\":\"209-225\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2021-11-19\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"The Journal of Portfolio Management\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.3905/jpm.2021.1.311\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"The Journal of Portfolio Management","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.3905/jpm.2021.1.311","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Factor Investing in Sovereign Bond Markets: Deep Sample Evidence
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.