Alpha Exchange

To be sure, factor investing has been a thing in equities for some time now, with vast pools of capital managed by firms that employ a systematic approach to harvesting style factors like growth, value and momentum. In 2013, Asness, Moskowitz and Pedersen authored, “Value and Momentum Everywhere”, for the Journal of Finance, finding common factors in return attribution across 8 markets.Still, a decade later, fixed income factor investing is a nascent strategy. Enter Karishma Kaul, Head of Systematic Fixed Income Strategies at Fidelity. With a masters in financial engineering from Cornell, she hit Wall Street in 2008, landing on a fixed income desk the day of the Lehman Bankruptcy. The ensuing financial crisis would provide valuable lessons on the limitations of theoretical models and the pitfalls that potentially arise from back-tests.Our discussion shifts to fixed income factor investing. Karishma provides an overview of common factors, including value, momentum and quality. The latter, she argues can play a