The discovery of factors in fixed income

Press review ETF Stream "(...) "In similar fashion to the dwindling faith in active management within the equity space, managers are now coming to questions whether the same erosion of trust is taking place in the ability of fixed income managers to control interest and credit-risk exposures. Professors Lionel Martellini, Riccardo Rebonato and Jean Michel Maes from the EDHEC business school suggest the steady decrease in interest rates in recent years has led institutional investors to question whether the active skills in this asset class can still work. As a step in this direction, the EDHEC Risk Institute has been able to provide a first detailed, security-level analysis on two factors that explain a large fraction of the differences in the cross-section of bond returns, namely value and momentum, using economically justified proxies for these attributes." (...)" Copyright ETF Stream https://www.etfstream.com/feature/8431_the-discovery-of-factors-in-fixed-income/ 2019