Corporate bond returns in major developed economies increase with lower ratings and
higher residual maturity. The performance of various factor models featuring corporate …

Abstract The authors embed Paris Aligned Benchmark (PAB) requirements in an illustrative
multi-asset portfolio containing developed and emerging market equities, sovereign bonds …

We construct fixed income portfolios for sovereign bonds and corporate bonds with
sustainable insights. The climate methodology for sovereign bonds can be applied as an …

We harvest factors—broad and persistent sources of returns—in US core fixed income in
three ways. First, we take strategic over and underweight positions in certain macro factors …

We analyze trading costs across regions and asset classes using unique data on 2,022
portfolio transitions from February 2016 to December 2023 comprising over USD 3.1 trillion …

Corporate bond returns in the major developed economies increase with risk, as measured
by maturity and ratings. From a pricing perspective, we find little to no evidence against the …