Beyond carry and momentum in government bonds

In this research paper, the Quantitative Investment Strategies (QIS) Lab looks at factors in investing in government bonds.

The study – ‘Beyond carry and momentum in government bonds’ – is the first of its kind to consider a wide range of possible factors in investing in government bonds with their various definitions and to link fixed income rate factors with the existing literature on curve pricing and macro-economic models.

The academic paper takes the reader through a three step reasoning: theoretical foundations, statistical analysis, back testing, before introducing some technical innovations and ultimately identifying four investment factors: carry, defensive investing, value, reversal.

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Bridging the gap between academia and BNP Paribas Quantitative Investment Strategies Group, the QIS lab is dedicated to developing cutting-edge systematic strategies, such as foundations of factors investing, new strategies, research in asset allocation through systemic strategies.