Researchers at AQR Capital Management say that active bond fund managers are beating benchmarks by “loading up on junk bunds to juice returns.” This according to a recent Bloomberg article.

“Since the category is closely linked to equities, that’s stripped away the diversification benefit bond funds normally provide,” the article states.

The AQR study, which focused on several different fixed income categories, found that excess returns are highly correlated with junk bond markets. The researchers argue, according to the article, that “it doesn’t take much skill to tie your fortune to one chunk of the market that behaves a lot like equities,” and suggest that in the event of equity share losses, “the typical active bond fund won’t adequately protect investors.”