I would like to expand my knowledge on systematic strategies in fixed income. I know there are a lot of articles on equity but these markets are different and I would like to know more. Are there good summary books or summary papers? Mainly interested in corp bonds, options, FX.


2 Answers 2


AQR Capital Management has a number of good papers on the general topic of systematic investing. In particular, you might find "Systematic Credit Investing" by Frieda and Richardson (easy to find on the Internet) interesting; it addresses both corporate bonds (investment grade/high yield) and CDS.

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    $\begingroup$ Many papers on fixed income written by Antti Ilmanen, when he was at AQR Capital Management or before, are worth reading. $\endgroup$
    – nbbo2
    Jul 26 at 15:47

In addition to the other answer, many of the risk & analytics vendors sell factor based fixed income risk models which can be used in systematic ways.




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