Most of those 'proven' ways to get rich in the bond market are really just math mistakes that people got lucky with.
Financial researchers thought they had found dozens of 'factors' that predict bond returns, but a massive audit found most of them are illusions. When you clean up the data, the majority of these signals simply disappear.
The Corporate Bond Factor Replication Crisis
SSRN · 6088966
Corporate bond factor research faces a replication crisis. The crisis stems from two sources that inflate reported factor premia: transaction prices whose measurement error enters both sorting signals and return denominators, creating a correlated errors-in-variables bias, and asymmetric ex-post return filtering that embeds future information into factor construction. Applying our framework to a ‘factor zoo’ of 108 signals across nine thematic clusters, we show that the majority of previously do