108 Long–short corporate bond factors from
Open Source Bond Asset Pricing. Compare
single sorts against within-firm sorts, four return definitions, three rating universes
and two weighting schemes — across three datasets reaching back to 1973.
Pick a dataset, a sort, a return definition, a universe and a weighting. The table
below ranks every factor in that slice selection, grouped by factor cluster. Tick up to
ten factors to chart them.
Cumulative performance
tick factors in the table below
All factors
Alpha is the intercept from the one-factor bond CAPM (CAPMB) of
Dickerson,
Mueller and Robotti (2023), the factor regressed on the market benchmark matched to
its return definition. Both t-statistics use Newey-West standard errors with lags
= floor(T0.25), where T is the number of months in the series.
Build a list of factors, each with its own dataset, sort, return definition, universe
and weighting — then compare them.