Factor Investing in Sovereign Bond Markets: Deep Sample Evidence
研究了1800年至2020年全球主要市场和期限的政府债券因子溢价，发现价值、动量、低风险因子能提供持续且多样化的超额收益，多因子策略表现最佳。
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.