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If you haven't seen it already, we released a note last night with some of our thoughts around last week's market action.  You can give it a read here.

It is easy to get caught up in day-to-day market chaos.  And while it is important to keep our pulse on changing market dynamics, we believe it is also important to stick to the processes and plans we already had in place to navigate market turbulence so as to avoid the potentially negative impacts of our own emotions.

So, with that said, the research must go on!

In this week's note, Steven tackles style premia in domestic bond sectors.  Specifically, he explores the application of momentum, value, and carry signals in rotating fixed income exposures.  As with some of the past commentary we've written on the subject, he finds that long/short implementations of all three signals appear effective.  Translating these into long-only implementations, however, can lead to concentration issues.  As a potential solve, Steven implements a trend filtration system, that defers the purchase of sectors exhibiting negative trends.  (PDF)


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What We're Reading
IN STYLE: "We analyze five different factors (Value, Equity Momentum, Carry, Quality, Size) and their combinations within the USD investment grade (IG) and high yield (HY) markets. These factors have positive risk-adjusted returns and explain a significant portion of the cross-sectional variation in corporate bond excess returns."  Factor Investing in Credit

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