Betting against Beta with Bonds: Worry or Love the Steepener?

Durham, J. Benson

doi:10.2469/faj.v72.n6.5

Cited by 7 publications

(2 citation statements)

References 37 publications

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“…However, Durham (2018) shows that investors should follow such a strategy cautiously as it seems to be associated with substantial systematic risk. Table 3 summarizes the studies discussed above.…”

Section: Quality (Defensive)mentioning

confidence: 99%

Factor-based investing in government bond markets: a survey of the current state of research

2020

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Factor investing has become very popular during the last decades, especially with respect to equity markets. After extending Fama–French factors to corporate bond markets, recent research more often concentrates on the government bond space and reveals that there is indeed clear empirical evidence for the existence of significant government bond factors. Voices that state the opposite refer to outdated data samples. By the documentation of rather homogeneous recent empirical evidence, this review underlines the attractiveness of more sophisticated investment approaches, which are well established in equity and even in corporate bond markets, to the segment of government bonds.

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Section: Quality (Defensive)mentioning

confidence: 99%

Factor-based investing in government bond markets: a survey of the current state of research

2020

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“…Luu and Yu (2012), Duyvesteyn and Martens (2014), Hambusch, Hong and Webster (2015) consider the momentum effect. Beekhuizen, Duyvesteyn, Martens and Zomerdijk (2016), de Carvalho, Dugnolle, Lu and Moulin (2014) and Durham (2016) examine defensive strategies based upon duration or volatility. Asness, Ilmanen, Israel and Moskowitz (2015), Beekhuizen, Duyvesteyn, Martens and Zomerdijk (2016) and Bolla (2017) research yield-based strategies that are linked to the concept of carry investing.…”

Section: Literature Reviewmentioning

confidence: 99%

Limits to arbitrage, investor sentiment, and factor returns in international government bond markets

Zaremba

Szczygielski

2019

Economic Research-Ekonomska Istraživanja

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The perspective of behavioural finance is that anomalies in the cross-section of returns are driven by mispricing that arises from investor irrationality that cannot be easily arbitraged away. In this study, we examine the implications of this for international government bond markets. Using data for 25 countries for the years 1992-2015, we replicate multiple factor strategies that represent four major return drivers: defensive (low-risk), carry, value and momentum. We investigate the relationships between the performance of these strategies and market-wide measures of limits to arbitrage and investor sentiment. We find that the defensive strategy performs best during tight arbitrage conditions whereas severe limits to arbitrage negatively affect momentum profits.

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What we know about the low-risk anomaly: a literature review

Traut¹

2023

Financ Mark Portf Manag

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It is well documented that less risky assets tend to outperform their riskier counterparts across asset classes. This paper provides a structured summary of the current state of literature regarding this so-called low-risk anomaly. It provides an overview of empirical findings across implementation methodologies and asset classes. Furthermore, it presents the most prevailing causes, which are namely exposure to other factors, coskewness risk, investor constraints, behavioral biases, and agency problems. The paper concludes that despite some critiques there are good reasons to believe that the low-risk anomaly can be evaluated as an investment factor. It also identifies that more research is required to disentangle the proposed causes to fully understand the big picture of the anomaly with certainty.

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Betting against Beta with Bonds: Worry or Love the Steepener?

Abstract: Although "betting against beta" with government bonds (BABgov)

Cited by 7 publications

References 37 publications

Factor-based investing in government bond markets: a survey of the current state of research

Factor-based investing in government bond markets: a survey of the current state of research

Limits to arbitrage, investor sentiment, and factor returns in international government bond markets

What we know about the low-risk anomaly: a literature review

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