PT - JOURNAL ARTICLE AU - Antti Ilmanen AU - Rory Byrne AU - Heinz Gunasekera AU - Robert Minikin TI - Which Risks Have Been Best Rewarded? AID - 10.3905/jpm.2004.319930 DP - 2004 Jan 31 TA - The Journal of Portfolio Management PG - 53--57 VI - 30 IP - 2 4099 - https://pm-research.com/content/30/2/53.short 4100 - https://pm-research.com/content/30/2/53.full AB - An empirical study examines the consistency of rewards for bearing various types of risks in U.S. asset markets between 1985 and early 2002. Bearing duration risk and equity market risk was amply rewarded, while bearing long-dated credit risk buying credit-risky bonds versus governments realized puny average profits. Bearing short-dated credit risk gave the most consistent profits of all static overweight strategies, with an information ratio near one. Wide break-even spread cushions may be one explanation for the superior reward for risk at short maturities. More fundamentally, market segmentation seems to be the main explanation, because the most consistent profit opportunities involve switching from Treasuries to top-rated non-government bonds.