RT Journal Article SR Electronic T1 Emerging Government Bond Market Timing JF The Journal of Fixed Income FD Institutional Investor Journals SP 36 OP 49 DO 10.3905/jfi.2013.23.3.036 VO 23 IS 3 A1 Johan Duyvesteyn A1 Martin Martens YR 2013 UL https://pm-research.com/content/23/3/36.abstract AB Excess bond returns in developed markets are predictable using factors like bond momentum, equity momentum, and term spread. The authors show the same factors can also predict the interest rates of emerging government debt issued in local currency. An investment strategy based on the three factors delivers 1.2% outperformance per year after transaction costs. They also show that emerging local currency debt excess returns have a correlation of 31% with U.S. Treasury returns, and a correlation of just 6% with U.S. high-yield credit excess returns. These results indicate that emerging market local currency debt yields behave more like developed government bond debt and less like credits.TOPICS: Fixed income and structured finance, factor-based models, developed