Carry Investing on the Yield Curve

Martin Martens, Paul Beekhuizen, Johan Duyvesteyn and Casper Zomerdijk

Financial Analysts Journal, 2019, vol. 75, issue 4, 51-63

Abstract: 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. Editor’s note Submitted 19 December 2018Accepted 16 May 2019 by Stephen J. Brown

Date: 2019
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DOI: 10.1080/0015198X.2019.1628552

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