Betting against Beta with Bonds: Worry or Love the Steepener?
研究政府债券的低贝塔策略（BABgov）是否产生超额收益，发现该策略在美国市场有显著alpha但伴随系统性风险，建议投资者谨慎使用。
Although “betting against beta” with government bonds (BABgov) seems profitable, questions remain. First, to what extent are BABgov profits an anomaly? Previous studies do not address routine valuation frameworks, such as term-structure models or principal components analysis. Second, “low” in low-risk investing refers to the second, not third, moment of returns, and prior research does not address coskew preferences. To consider the third question—breadth—I examine 20 non-US markets. On balance, BABgov is found to produce alpha, but primarily for the United States and with substantial systematic risk. Investors should follow BABgov cautiously.