Whitepaper - October 2020

Bonds have style, too: A new model for capturing fixed-income risk premia…and much more

Style-factor risk premia have been well-documented (and harvested) in the equity world for decades but have proven far more elusive for bonds. The new Axioma Factor-based Fixed Income Model (FFIM) demonstrates that style factors not only do exist in credit, but that they also carry discernible risk premia, which, in turn, can be utilized for systematic, smart-beta investing.

Authors

Christoph Schon, CFA, CIPM

Executive Director, Applied Research