Style investing has become part of the investing nomenclature for equity markets. To date, despite the massive size of fixed income markets, little research has examined the efficacy of style-based investing in fixed income. In this paper we summarize a common style based framework for capturing...

Deleveraging risk is the risk attributable to investing in a security held by levered investors. When there is an aggregate negative shock to the availability of funding capital, securities with a greater presence of levered investors experience extreme return realizations as these investors...

Setting the Stage -- Fixed Income - Strategic Asset Allocation -- Fixed Income - Tactial Asset Allocation -- Incumbent Active Fixed Income Managers -- Security Selection - Rate Sensitive Assets -- Security Selection - Credit Sensitive Assets -- Security Selection - Emerging Markets (Hard...

We document novel empirical insights driving the prices of sovereign external emerging market bonds. In the time series, we examine the market portfolio's time-varying exposures to a broad set of macro factors (rates, credit, currency, and equity) and identify these embedded betas as key drivers...

Over the past 20 years, active fixed income (FI) managers have tended to deliver returns in excess of their benchmarks. This has generated a popular notion that active investing in fixed income markets is ‘easy'. Our aim is to assess the veracity of that notion. Across a broad set of popular...

The paper presents a framework for identifying accounting numbers that indicate risk and expected return. The framework establishes conditions under which book-to-price (B/P), so prominent in asset pricing, indicates expected returns: B/P indicates expected returns if it forecasts future...