Stats › Valuation › Bond factors
Twenty six of four hundred and thirty two corporate bond factor results survive a correction
| Signal | Premium | t | Alpha | t |
|---|---|---|---|---|
| Momentum, 6 month | 0.00% | 0.01 | 0.22% | 1.08 |
| Momentum, 12 month | -0.13% | -0.39 | 0.14% | 0.51 |
| Momentum, 3 month | 0.17% | 0.90 | 0.31% | 1.65 |
| Value, credit spread, unadjusted | 0.96% | 4.82 | 0.76% | 5.24 |
| Value, after removing look-ahead bias | 0.51% | 2.68 | 0.31% | 2.12 |
| Value, after the return measurement fix | 0.51% | 3.05 | 0.33% | 2.61 |
| Value, within firm, adjusted | 0.22% | 3.50 | 0.20% | 4.30 |
Monthly value weighted decile long short returns on US corporate bonds, August 2002 to December 2024, with bond market model alphas. Momentum does not survive in value weighted form. Credit spread based value survives, and roughly halves once look-ahead bias in the signal and the return measurement gap are removed.
Of 432 corporate bond factor specifications, 119 have nominally significant premia and only 26 survive a false discovery correction. Momentum in value weighted form has t statistics between minus 0.39 and 0.90 over 2002 to 2024.
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