Financial Analysts Journal 12 August 2019 Volume 75 Issue 4
Carry Investing on the Yield Curve
Bond carry is the expected return on a bond when the yield curve does not change. The curve carry strategy within each country constructs buckets based on bond maturities on a monthly basis and buys the government bond buckets with high carry while selling those with low carry. Combining these curve carry strategies for 13 countries, we found a global curve carry factor with an information ratio of 1.0. Returns to a global curve carry factor cannot be explained by value or momentum, and the strategy subsumes the betting-against-beta factor.
About the Author(s)
Martin Martens is head of Quant Allocation Research at Robeco, Rotterdam, the Netherlands.
Paul Beekhuizen is a technical portfolio manager, Fixed Income, at Robeco, Rotterdam, the Netherlands.
Johan Duyvesteyn, CFA, is a portfolio manager and researcher, Quant Allocation, at Robeco, Rotterdam, the Netherlands.
Casper Zomerdijk, CFA, is a researcher, Quant Allocation, at Robeco, Rotterdam, the Netherlands.