Fixed Income Factors: Theory and Practice
研究了固定收益市场中因子投资的可行性，尽管存在高交易成本等挑战，但通过简单规则构建的风格因子在美国投资级、高收益和新兴市场债券中均表现出显著绩效，并通过案例分析了主动型固定收益基金的因子暴露情况。
Fixed income markets present unique considerations that many believe make the space prohibitive to factor investing. Examples include high transaction costs, limitations on shorting instruments, and the highly diverse set of constraints credit portfolio managers often consider during construction—potentially “washing out” any factor exposures. Despite these challenges, the authors document significant performance for style factors created using simple construction rules applied across US investment grade, US high yield, and emerging market bonds. The authors conclude with two case studies that investigate the level of factor exposure for active fixed income funds to demonstrate a success story and highlight opportunities for funds that lack factor exposure.