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Factor Exposure Analysis 108: Fixed Income Factors II

Style versus traditional fixed income factors

Nicolas Rabener
10 min read
11 Sep 2023

SUMMARY

  • There are style factors like value and traditional fixed income factors like term premium
  • The correlations of these factors has been low
  • However, it is not clear which are better suited for a factor exposure analysis

INTRODUCTION

In our last research article, we compared fixed income factors from two asset managers, namely AQR Capital Management and Robeco, which highlighted different security selection and portfolio construction processes. Although these two data sets included the same factors, eg value and momentum, these were completely uncorrelated, which raised the question of which data set is most suitable for running a factor exposure analysis on bond mutual funds (read Factor Exposure Analysis 107: Fixed Income Factors).

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