Carry Investing on the Yield Curve
研究了债券套息策略，即买入高套息、卖出低套息的政府债券组合，基于13个国家的数据发现全球曲线套息因子的信息比率为1.0，且该策略的回报不能被价值或动量因子解释。
Bond carry is the expected return on a bond when the yield curve does not change. The curve carry strategy within each country constructs buckets based on bond maturities on a monthly basis and buys the government bond buckets with high carry while selling those with low carry. Combining these curve carry strategies for 13 countries, we found a global curve carry factor with an information ratio of 1.0. Returns to a global curve carry factor cannot be explained by value or momentum, and the strategy subsumes the betting-against-beta factor.