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Factor Exposure Analysis 119: Fixed Income Factors III

What is driving bond funds?

Nicolas Rabener
10 min read
8 Jun 2026

SUMMARY

  • There are different approaches to fixed income factor exposure analysis
  • None of these seems statistically superior in explaining bond returns
  • However, some are more intuitive than others

INTRODUCTION

We published our initial research on factor exposure analysis of fixed income ETFs in 2022, followed by two further articles in 2023, in which we highlighted a persistent divide in how practitioners approach the subject. The fixed income perspective tends to use the language of bond markets – analyzing funds through the lens of duration, yield, and credit quality. The quantitative perspective borrows from the equity factor toolkit, applying concepts such as value, quality, momentum, and low volatility to fixed income portfolios (read

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