By continuing on this site you have agreed to cookies being placed and accessed by this website. More information and adjusting cookie settings.

Robeco uses cookies to analyze your visit to this site, to share information via social media and to personalize the site and advertisements in line with your own preferences. By clicking on agree or by continuing on this site, you agree to the above. More information and adjusting cookie settings.

AGREE

Robeco uses cookies to analyze your visit to this site, to share information via social media and to personalize the site and advertisements in line with your own preferences. By clicking on agree or by continuing on this site, you agree to the above. More information and adjusting cookie settings.

AGREE

By continuing on this site you have agreed to cookies being placed and accessed by this website. More information and adjusting cookie settings.

The low-risk anomaly in credits

Abstract

01-04-2012 | Research | Daniël Haesen, CFA, Patrick Houweling, PhD, Paul Beekhuizen, Peter Kwaak, Renxuan Wang, Sander Bus, Victor Verberk In this Research Note we show that low-risk credits had superior risk-adjusted excess returns over the past 20 years.1 By selecting low-risk bonds from low-risk issuers, investors would have earned credit-like returns at substantially lower risk. This low-risk anomaly strongly resembles the lowrisk anomaly in equity markets that was documented in earlier Robeco research and forms the basis of the Robeco Conservative Equity product line.

We present our research on the low-risk anomaly in credit markets using various dimensions of risk. We also provide explanations why we believe that the anomaly is likely to persist in the future. We conclude with a brief description of the Robeco Conservative Credits strategy, which exploits the low-risk anomaly by investing in bonds with a below-average maturity from issuers with below-average risk. This category of credits should appeal to longterm investors that want to realize superior risk-adjusted excess returns through the cycle.
Share this page: