Aurora Borealis
12 August 2019 Financial Analysts Journal Volume 75, Issue 4

Carry Investing on the Yield Curve

  1. Martin Martens
  2. Paul Beekhuizen
  3. Johan Duyvesteyn, CFA
  4. Casper Zomerdijk, CFA
Bond carry is the expected return on a bond when the yield curve does not change. The curve carry strategy within each country constructs buckets based on bond maturities on a monthly basis and buys the government bond buckets with high carry while selling those with low carry. Combining these curve carry strategies for 13 countries, we found a global curve carry factor with an information ratio of 1.0. Returns to a global curve carry factor cannot be explained by value or momentum, and the strategy subsumes the betting-against-beta factor.
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Publisher Information
Routledge doi.org/10.1080/0015198X.2019.1628552 ISSN/ISBN: 0015-198X

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