We evaluate the performance of fixed income Exchange Traded Funds (ETFs). We find that Treasury ETFs are indeed able to track their benchmarks, but that Investment Grade corporate bond ETFs underperform their benchmarks and High Yield corporate bond ETFs even severely underperform their...

We investigate and improve momentum spillover from stocks to corporate bonds, i.e. the phenomenon that past winners in the equity market are future winners in the corporate bond market. We find that a momentum spillover strategy exhibits strong structural and time-varying default risk exposures...

We examine factor investing in emerging market hard currency corporate bonds. Size, low-risk, value, and momentum factor portfolios obtain significantly higher Sharpe ratios than the market. We find the strongest results when the four factors are combined in a multi-factor portfolio. In several...