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多元因子信用债

多元因子信用债

有效捕捉信用债资产的因子溢价

要点:

  • 荷宝早在1999年就已开始采用因子模型管理债券资产 
  • 均衡投资于影响投资级债券表现的多种因子
  • 在完整的市场周期带来有吸引力的回报,投资风格分散化,可与股票因子投资相辅相成

投资理念

荷宝的量化投资策略基于以下理念:

以实证数据为基础。 识别最有效之风险收益特征的因子。研究过程涵盖在不同市场的长时间经验验证。

以理解实证数据背后之经济、市场原由为依托。 我们希望超越统计数据的形态,探究这些因子背后的经济动力,并且改良量化因子以回避无效益的风险。

构建有效及审慎的投资组合。 投资组合透明度高,易于理解说明,避免不必要的交易成本,并整合环境、社会和公司治理(ESG)因素。

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投资过程

多元因子信用债策略是通过充分挖掘低风险、质量、价值和动量因子的一种量化债券策略。荷宝并不采用通用因子而是采用专有的因子变量来避免无效益风险和获取最大收益。

在构建投资组合时考虑投资规模,方法是增持小公司债券及减持大公司债券。此策略的目标是在完整的市场周期中找到与市场类似的波幅,获得高于市场的额外回报,该投资组合的目标是通过分析模型来筛选评分高的债券,以此优化投资组合的配置,并管理流动性、限制转手率和降低交易成本。

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