Carry for government bonds

Do you want to help us beat the government bond market? Apply for this internship project and seize the opportunity to work with experienced quantitative researchers at Robeco Investment Research.

During the internship you will:

  • work with a new government bond database
  • use econometric techniques to model the yield curve
  • develop a new investment strategy for government bonds
  • and write a unique master thesis!
Are you interested?

Let us know your motivation and send it together with your CV and list of grades to

Carry is the return on a government bond if the yield curve does not change, and depends on the steepness of the yield curve. According to academic research, investors can outperform the government bond market by using carry for market timing, country allocation, and yield curve positioning. We want to take it one step further and investigate an investment strategy for individual government bonds based on the carry concept.

We will investigate the following ideas:

  • Make a smart trade-off between the risk and the carry return of a government bond portfolio
  • Model the zero coupon yield curve to enhance the way we measure carry
  • Reduce the transaction cost of the investment strategy in an intelligent way
  • Smarter government bond selection by using insights from fixed-income arbitrage strategies


Beekhuizen, Duyvesteyn, Martens, and Zomerdijk (2016). Carry Investing on the Yield Curve. Working paper.

Duarte, Longstaff, and Yu (2007). Risk and Return in Fixed-Income Arbitrage: Nickels in Front of a Steamroller? Review of Financial Studies 20 (3), 769-811

Fama (1984a). The information in the term structure. Journal of Financial Economics 13, 509-528

Koijen, Moskowitz, Pedersen, and Vrugt (2015). Carry. Working paper.