
Quants miss the ‘obvious’: a safe-haven factor in bonds
After carry, the flight-to-quality factor – the ‘elephant in the room’ – is a key driver, a study says
Quants who comb fixed-income data for tradable patterns may have missed the most glaring of all: buy-side sprints to the safety of bonds when the broader markets get jumpy.
In a seven-month project, a team at BNP Paribas led by Julien Turc used a machine learning algorithm to tease out the critical factors propelling government bonds. The researchers found that buy-siders seeking safe-haven investments when the markets churn accounted for nearly half the movement in bonds.
“This flight-to
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact [email protected] to find out more.
You are currently unable to copy this content. Please contact [email protected] to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
More on Quant investing
Derivatives
Callable repack frenzy opens up new options market in Europe
Demand driven mainly by French life insurers looking for alternatives to low-yielding sovereign bonds
Receive this by email