Key Risk Factors in Bond and Equity Markets
Bond Factors
Litterman and Scheinkman（1991）: most of the returns on any default-free government security or portfolio of such securities can be explained by just three factors: the level factor, the slope factor, and the curvature factor.
在美国国债上，level可以解释93%，slope解释6%，curvature 1%，其余0%，且5年滚动来看，长期稳定。用英国、欧元区、日本swap测算，依旧有效。