12 August 2019Financial Analysts JournalVolume 75, Issue 4
Carry Investing on the Yield Curve
Martin Martens
Paul Beekhuizen
Johan Duyvesteyn, CFA
Casper Zomerdijk, CFA
Share this:
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.
Read the Complete Article in Financial Analysts Journal
Financial Analysts Journal
CFA Institute Member Content
We’re using cookies, but you can turn them off in Privacy Settings. Otherwise, you are agreeing to our use of cookies. Accepting cookies does not mean that we are collecting personal data. Learn more in our Privacy Policy.
Privacy Settings
Functional cookies, which are necessary for basic site functionality like keeping you logged in, are always enabled.