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from-the-field-175x95px.jpgFROM THE FIELD: Robeco researchers publish many whitepapers based on their own empirical studies. But they also closely follow quantitative research done by others. Head of Quantitative Equities Research David Blitz comments on notable external papers.

From the field: Accounting-based anomalies in the bond market

22-06-2016 | David Blitz, PhD This study examines whether over thirty accounting-based fundamental variables known to be related to future stock returns are also effective for predicting future bond returns. The frequency of significant returns to trading strategies based on these anomalies turns out to be similar for the bond and stock markets.

Although the magnitude of returns is generally lower with bonds, the significance and Sharpe ratios of these returns are comparable to those observed with stocks. Interestingly, the bond strategies remain significant after controlling for exposures to the equivalent strategies in the stock market, suggesting that they offer different alphas.

We like this study because it serves as an out-of-sample test for the strategies known to be effective in the stock market, and also because it suggests that quant (or factor) investing may be just as applicable to the bond market as to the stock market.

* Crawford et al, 2014, “Accounting-Based Anomalies in the Bond Market”
David Blitz

David Blitz, PhD

Head Quantitative Equities Research

“Factor investing, aimed at systematically capturing the value, momentum, low-volatility and other premiums, holds the future.”

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David Blitz, PhD
Head Quantitative Equities Research


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