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Factor investing in corporate bond markets

Factor investing entails allocating to systematic strategies that historically have shown a higher Sharpe ratio than the entire market. Well-known factors are Value, Momentum, Size and Low-Risk. Most of the research on factor investing has been conducted on equity markets. The literature for other markets, such as corporate bonds (credits) or commodities, is still limited.

The goal of this research project is to investigate these and other factors such as Carry for corporate bonds. Robeco Quantitative Strategies has access to a unique historical database of corporate data that enables back-testing and evaluating of factor strategies. You will conduct a literature study and implement various factors to determine their predictive power for corporate bond returns.

The project covers the entire quant model development cycle: analyzing the data, programming the back-tests, analyzing the results, discussing results with researchers and portfolio managers, writing a research report and giving a presentation. As with all Super Quant internships, the assignment will be supervised by an experienced empirical researcher of Robeco’s Quantitative Strategies department. Practical feedback will be provided by several credit portfolio managers. Creative, analytic and programming skills are essential in order to successfully complete the project.

References
Houweling, P., J. van Zundert, 2014, “Factor Investing in Corporate Bonds”, working paper

Israel, I., J. Kang, S.A. Richardson, 2015, “Investing with Style in Corporate Bonds”, working paper

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Are you interested?

Let us know your motivation and send it together with your CV and list of grades to SQ@robeco.nl. For more information call us on: +31 - 10 - 224 2499