Beyond Duration: Diversifying Risk in Bond Portfolios

Allianz Global Investors’ Fixed Income Advanced Insights series, led by CIO Maxence-Louis Mormede, examines how institutions can achieve steadier outcomes by moving past traditional risk drivers.

• Duration and yield curve positioning explain ~95% of variance in U.S. Treasury portfolios, but overreliance on them increases volatility.

• Academic evidence shows diversified risk allocation—across credit, currency, and liquidity—improves risk-adjusted returns.

• Institutions focused on stable income streams should prioritize return per unit of risk, not maximum yield.

How can broader factor diversification strengthen fixed income strategies? Explore the full report for detailed analysis.