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Rates factors and global asset allocation

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Rates factors and global asset allocation. / Kothe, Joshua; Lohre, Harald; Rother, Carsten.
In: Journal of Fixed Income, Vol. 30, No. 3, 31.01.2021, p. 6-25.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Kothe, J, Lohre, H & Rother, C 2021, 'Rates factors and global asset allocation', Journal of Fixed Income, vol. 30, no. 3, pp. 6-25. https://doi.org/10.3905/JFI.2020.1.098

APA

Kothe, J., Lohre, H., & Rother, C. (2021). Rates factors and global asset allocation. Journal of Fixed Income, 30(3), 6-25. https://doi.org/10.3905/JFI.2020.1.098

Vancouver

Kothe J, Lohre H, Rother C. Rates factors and global asset allocation. Journal of Fixed Income. 2021 Jan 31;30(3):6-25. Epub 2021 Jan 4. doi: 10.3905/JFI.2020.1.098

Author

Kothe, Joshua ; Lohre, Harald ; Rother, Carsten. / Rates factors and global asset allocation. In: Journal of Fixed Income. 2021 ; Vol. 30, No. 3. pp. 6-25.

Bibtex

@article{5b4ced6b11e1472a83f4aee4a1b92742,
title = "Rates factors and global asset allocation",
abstract = "Style factors that are prominent in other asset classes, such as carry, value, momentum, and defensive, do extend to the fixed income domain as well. We investigate factor investing across global government bonds and the use of such rates factors for a multi-asset investor. These rates factors significantly improve the investment opportunity set of investors, representing valuable tail hedges and offering diversification potential. Furthermore, complementing conservative multi-asset strategies by rates factors can enhance returns and reduce the likelihood and severity of downturns not only in-sample, but also in out-of-sample portfolio simulations.",
author = "Joshua Kothe and Harald Lohre and Carsten Rother",
year = "2021",
month = jan,
day = "31",
doi = "10.3905/JFI.2020.1.098",
language = "English",
volume = "30",
pages = "6--25",
journal = "Journal of Fixed Income",
issn = "1059-8596",
publisher = "Institutional Investor, Inc",
number = "3",

}

RIS

TY - JOUR

T1 - Rates factors and global asset allocation

AU - Kothe, Joshua

AU - Lohre, Harald

AU - Rother, Carsten

PY - 2021/1/31

Y1 - 2021/1/31

N2 - Style factors that are prominent in other asset classes, such as carry, value, momentum, and defensive, do extend to the fixed income domain as well. We investigate factor investing across global government bonds and the use of such rates factors for a multi-asset investor. These rates factors significantly improve the investment opportunity set of investors, representing valuable tail hedges and offering diversification potential. Furthermore, complementing conservative multi-asset strategies by rates factors can enhance returns and reduce the likelihood and severity of downturns not only in-sample, but also in out-of-sample portfolio simulations.

AB - Style factors that are prominent in other asset classes, such as carry, value, momentum, and defensive, do extend to the fixed income domain as well. We investigate factor investing across global government bonds and the use of such rates factors for a multi-asset investor. These rates factors significantly improve the investment opportunity set of investors, representing valuable tail hedges and offering diversification potential. Furthermore, complementing conservative multi-asset strategies by rates factors can enhance returns and reduce the likelihood and severity of downturns not only in-sample, but also in out-of-sample portfolio simulations.

U2 - 10.3905/JFI.2020.1.098

DO - 10.3905/JFI.2020.1.098

M3 - Journal article

AN - SCOPUS:85099914561

VL - 30

SP - 6

EP - 25

JO - Journal of Fixed Income

JF - Journal of Fixed Income

SN - 1059-8596

IS - 3

ER -