The abundance of theoretical and empirical research on factor investing in the equity universe (see for example Amenc and Goltz (2016) for an overview) stands in sharp contrast to the relative scarcity of research about how to efficiently harvest risk premia in bond markets. That relatively little is known about the out-of-sample performance of factor-based bond portfolio optimisation models is perhaps surprising given the importance of fixed-income investments in institutional and private investors’ portfolios. From the investment practice standpoint, a similar contrast actually exists between factor investing in the equity space, which is a relatively mature subject, and factor investing in bond markets which still is in its infancy. This paper is the first of three papers that provide a detailed analysis of the theoretical, empirical and practical challenges related to factor investing in sovereign bond markets.