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Carry Investing on the Yield Curve

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.

Author - Martin Martens, Paul Beekhuizen, Johan Duyvesteyn, Casper Zomerdijk
Journal - Financial Analysts Journal

Source - https://web.p.ebscohost.com/ehost/detail/detail?vid=0&sid=268d095c-8806-4eaf-bbb4-9c825d1d9ff2%40redis&bdata=JnNpdGU9ZWhvc3QtbGl2ZQ%3d%3d#AN=145036182&db=bsh