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Carry Investing on the Yield Curve: Strategies for Yield Enhancement

Last Updated on 10 February, 2024 by Rejaul Karim

The working paper version of “Carry Investing on the Yield Curve” delves into a sophisticated analysis of two distinct yield curve strategies, specifically the innovative Curve carry and betting-against-beta, within the dynamic landscape of international bond markets.

This discerning investigation sets out to unravel the intricacies and performance metrics of these strategies, offering compelling insights into their distinct nuances and the strategic implications for investors.

Notably, the resounding success of the global curve carry factor, its enigmatic performance unexplained by other factors, piques curiosity and raises pertinent questions about its underlying mechanics.

Conversely, the conditional nature of the betting-against-beta strategy, contingent on the assumed funding rate, introduces a layer of complexity that underscores the multifaceted nature of these strategic investment approaches.

This compelling study promises to illuminate the evolving discourse on yield curve strategies, offering a thought-provoking perspective with far-reaching implications for the realm of government bonds and investments.

Abstract Of Paper

We investigate two yield curve strategies: Curve carry selects bond maturities based on carry and betting-against-beta always selects the shortest maturities. We investigate these strategies for international bond markets. We find that the global curve carry factor has strong performance that cannot be explained by other factors. For betting-against-beta, however, this depends on the assumed funding rate. We also show that the betting-against-beta strategy has no added value for an investor that already invests in curve carry.

Original paper – Download PDF

Here you can download the PDF and original paper of Carry investing on the yield curve.

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Martin Martens
Robeco Asset Management

Paul Beekhuizen
Robeco Asset Management

Johan G. Duyvesteyn
Robeco Asset Management

Casper Zomerdijk
Robeco Asset Management


In conclusion, the comprehensive exploration of the yield curve strategies of Curve carry and betting-against-beta within international bond markets furnishes a nuanced understanding of their performance and applicability.

The discernment of the formidable performance of the global curve carry factor, juxtaposed against its enigmatic nature unexplained by other factors, underscores its robustness and potential as a standalone strategy.

Meanwhile, the contingent nature of the betting-against-beta strategy on the assumed funding rate introduces a layer of complexity to its viability.

Moreover, the elucidation that the betting-against-beta strategy offers no discernible added value to investors already entrenched in curve carry investments bears critical implications for strategic investment decisions.

This incisive investigation propels the discourse on yield curve strategies and their broader ramifications within the realm of government bonds, promising to shape future investment paradigms.

Related Reading:

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Design and Back-Testing of a Systematic Delta-Hedging Strategy in FX Options Space


Q1: What are the two yield curve strategies investigated in the paper “Carry Investing on the Yield Curve”?

A1: The paper explores two yield curve strategies: Curve carry, which selects bond maturities based on carry, and betting-against-beta, which always selects the shortest maturities.

Q2: What distinguishes the global curve carry factor, and what does the study reveal about its performance?

A2: The global curve carry factor demonstrates strong performance that cannot be explained by other factors, according to the study. Its robustness and success raise questions about its underlying mechanics, marking it as a noteworthy standalone strategy.

Q3: How does the viability of the betting-against-beta strategy depend on a specific factor, and what insight does the study provide for investors already engaged in curve carry investments?

A3: The viability of the betting-against-beta strategy depends on the assumed funding rate. The study reveals that this strategy offers no added value for investors who are already involved in curve carry investments, providing critical insights for strategic decision-making.

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