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Could someone direct me to papers I can find on factor investing for construction of actual local bonds (not using etfs or sovereign bonds) in a portfolio for any local market. For me, I’m trying to create a bond portfolio for my project using the Bloomberg US Agg Total Return Value Unhedged USD benchmark. I am to create a 50 bond portfolio using bonds from that benchmark exposed to a factor of my choice. Having a trouble finding articles and where to start. Please provide me with information you might have. Thanks

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You could try "Factor Investing in the Corporate Bond Market" (https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2516322). The value and momentum factors they mention in the paper are also used in government bonds (which are the same thing as sovereign bonds).

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