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This article provides a detailed analysis of the theoretical, statistical, and implementation challenges related to factor investing in US sovereign bond markets, with focus on level factor, which explains for any maturity largest fraction differences returns over time. Using comprehensive database individual United States covering 1975–2018 sample period, authors find that conditional version carry strategy based time-varying exposure can generate up 210 bps excess performance (gross transaction costs) benchmark significantly higher Sharpe ratio. Overall, their results suggest even single-issuer universe highly correlated returns, after accounting costs, strategies second-generation return-predicting factors lead robust benefits from both asset-only asset-liability management perspectives. TOPICS:Analysis factors/risk premia, factor-based models, style Key Findings • Conditional respect unconditional slope yield curve. These remain profitable when implemented at CUSIP level, costs long-only constraints are accounted for, show particularly strong levels outperformance increasing interest rate environments bear equity markets. For liability-driven investors, these be used dynamic active duration bets liability substantially outperform strict duration-matching relatively modest tracking error.