A research-driven approach is at the core of everything we do. By offering data sets we give investors the opportunity to conduct their own analyses.
This data set belongs to the research article written by Patrick Houweling and Jeroen van Zundert that shows how factors which have been used successfully in equity market investing can also be applied to the corporate bond market.
As a pioneer in this field, Robeco has looked for evidence supporting the existence of factors in credit markets for quite some time. In a groundbreaking paper published in 2017 in the Financial Analysts Journal edited by the CFA Institute, we were the first to document how portfolio managers can successfully implement a multi-factor approach in their credit portfolios.
This data set contains monthly returns for four factor portfolios (size, low-risk, value, momentum). Each factor portfolio is constructed by dividing all index constituents at the end of each month into ten decile portfolios based on the respective factor; the exact factor definitions are described in the paper referenced below. An overlapping portfolio method is used to hold on to bonds for the subsequent 12 months while rebalancing on a monthly basis. The Excel file contains the monthly excess returns versus duration-matched government bonds of the top decile portfolio for the period from January 1994 to December 2018.
The content displayed on this website is exclusively directed at qualified investors, as defined in the swiss collective investment schemes act of 23 june 2006 ("cisa") and its implementing ordinance, or at “independent asset managers” which meet additional requirements as set out below. Qualified investors are in particular regulated financial intermediaries such as banks, securities dealers, fund management companies and asset managers of collective investment schemes and central banks, regulated insurance companies, public entities and retirement benefits institutions with professional treasury or companies with professional treasury.
The contents, however, are not intended for non-qualified investors. By clicking "I agree" below, you confirm and acknowledge that you act in your capacity as qualified investor pursuant to CISA or as an “independent asset manager” who meets the additional requirements set out hereafter. In the event that you are an "independent asset manager" who meets all the requirements set out in Art. 3 para. 2 let. c) CISA in conjunction with Art. 3 CISO, by clicking "I Agree" below you confirm that you will use the content of this website only for those of your clients which are qualified investors pursuant to CISA.
Representative in Switzerland of the foreign funds registered with the Swiss Financial Market Supervisory Authority ("FINMA") for distribution in or from Switzerland to non-qualified investors is ACOLIN Fund Services AG, Affolternstrasse 56, 8050 Zürich, and the paying agent is UBS Switzerland AG, Bahnhofstrasse 45, 8001 Zürich. Please consult www.finma.ch for a list of FINMA registered funds.
Neither information nor any opinion expressed on the website constitutes a solicitation, an offer or a recommendation to buy, sell or dispose of any investment, to engage in any other transaction or to provide any investment advice or service. An investment in a Robeco/RobecoSAM AG product should only be made after reading the related legal documents such as management regulations, articles of association, prospectuses, key investor information documents and annual and semi-annual reports, which can be all be obtained free of charge at this website, at the registered seat of the representative in Switzerland, as well as at the Robeco/RobecoSAM AG offices in each country where Robeco has a presence. In respect of the funds distributed in Switzerland, the place of performance and jurisdiction is the registered office of the representative in Switzerland.
This website is not directed to any person in any jurisdiction where, by reason of that person's nationality, residence or otherwise, the publication or availability of this website is prohibited. Persons in respect of whom such prohibitions apply must not access this website.