White paper ‘Smart credit investing: harvesting factor premiums’
Although most factor research focuses on the equity market, the concept and benefits of factor investing apply equally well to the corporate bond market. A smart way of investing is combining the factors into a multi-factor credit portfolio in order to diversify across factors. A multi-factor portfolio retains the high Sharpe ratio of the individual factors, but with smaller drawdowns and lower tracking error versus the market. Moreover, in a multi-asset portfolio, corporate bond factors also add value, beyond the equity factors.
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