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Factor investing works for bond portfolios, too

Factor investing works for bond portfolios, too

04-06-2019 | Insight

Bond portfolios with significant exposure to the value, momentum and low risk factors generate returns that consistently outperform the index.

  • Olaf  Penninga
    Olaf
    Penninga
    Portfolio Manager
  • Martin Martens
    Martin
    Martens
    Researcher

Most of the research that examines the benefits of factor investing is focused on the equity market. Our research shows that the benefits of a systematic, rules-based approach to selecting securities and harvesting factor premiums can also be found in the government bond market. We provide academic and empirical evidence that bond portfolios with significant exposure to the Value, Momentum and Low Risk factors generate consistently higher returns than the index, without taking on additional risk.

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Download our research paper on factor investing for government bonds

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