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Contribution Details
| Type | Master's Thesis |
| Scope | Discipline-based scholarship |
| Title | Factor Investing in Sovereign Bond Market |
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| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Number of Pages | 47 |
| Date | 2020 |
| Abstract Text | Factor Investing is a well-established allocation approach in equities with over 50 years of research, testing and documentation. However, in fixed income it had seen limited implementation and only recently portfolio managers and funds of active investing started considering factor investing techniques for the asset allocation. In our analysis, we implement factor investing in European government bonds and we analyse the factors’ performance. Our results show that there are significant factors in European sovereign debt market and that factor-tilted portfolios can outperform benchmark portfolio. This investment approach yields premia also in an ultra-low interest rate environment where the yield hunt is more challenging for investors and portfolio managers. |
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