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Factor investing applied to credits

There is strong empirical evidence for the existence of low risk, value, momentum and size factor premiums in the corporate bond market.

Factor investing credits previous publications

IPE webinar: Factor investing works for credits too

16-12-2015 | Insight | Patrick Houweling, PhD

Watch our webcast in which Patrick Houweling and Jeroen van Zundert discuss this approach to investing in credits.

Factor Investing in the Corporate Bond Market

11-12-2015 | Research | Jeroen van Zundert, Patrick Houweling, PhD

We provide empirical evidence that the Size, Low-Risk, Value and Momentum factors have significant risk-adjusted returns in the corporate bond market. By combining these factors in a multi-factor portfolio, drawdowns and tracking error vs. the market are reduced, while the higher return and Sharpe ratio are preserved.

Video ‘Factor investing: it works for credits too’

29-09-2015 | Insight | Patrick Houweling, PhD

Factor investing has been successfully applied to equity markets. It can also work in the corporate bond market and can generate substantial premiums. An interview with portfolio manager and researcher Patrick Houweling.

Factor investing for credits: from research paper to fund

24-07-2015 | Insight | Patrick Houweling, PhD

Most academic studies on factor investing are about equities. Patrick Houweling and Jeroen van Zundert show that factor investing also works for bonds. How has their research paper been used to create a fund?

Balanced exposure to factors in credits

23-07-2015 | Patrick Houweling, PhD

Robeco Global Multi-Factor Credits, launched on June 15, 2015, is an innovative fund offering balanced exposure to the Low-Risk, Value, Momentum and Size factors in the credit market.

Factor investing: five lessons for corporate-bond investors

16-06-2015 | Insight | Patrick Houweling, PhD

Interest in factor investing – investing in systematic sources of return – is rapidly increasing. Up to now most investor interest in this area has been focused on equities. But what are the possibilities for applying it to credits?

Smart credit investing: harvesting factor premiums

12-01-2015 | Insight | Jeroen van Zundert, Patrick Houweling, PhD

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.

How factor investing also works for corporate bonds

11-11-2014 | Insight | Jeroen van Zundert, Patrick Houweling, PhD

Two Robeco researchers have become the first to analyze the effect that factor premiums can have on corporate bond investing.

Distress Risk basket enhanced in Conservative Credits

24-04-2014 | Insight | Georgi Kyosev, Jeroen van Zundert, Patrick Houweling, PhD, Paul Beekhuizen

Research by Robeco and academic researchers shows that a low-risk anomaly exists in credit markets: low-risk credit portfolios earn higher risk-adjusted returns than high-risk portfolios over a full market cycle.

Tailor-made for Solvency II: Conservative Credits

10-09-2013 | Insight | Patrick Houweling, PhD

Insurers need to have higher capital buffers against risk if Solvency II comes into place, forcing many to rethink the investments they are in. A potential solution lies in credits with a lower risk profile – as the clock starts ticking for investors to act.

The low-risk anomaly in credits

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.

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Factor investing: it works for credits too

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