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多因子固定收益策略

多因子固定收益策略

高效捕捉投资级、高收益信贷和政府债券领域的因子超额收益

要点:

  • 荷宝早在 1999 年就已开始采用因子模型管理信贷资产。
  • 对于固定收益类资产,在投资级、高收益信贷和政府债券领域运用了因子策略。
  • 因子投资的目标是在一个完整的市场周期内产生有吸引力的回报,其风格多样化,并可与股票的因子投资相结合。

投资理念

荷宝的量化投资策略基于以下信念:

实证研究。识别可带来更好经风险调整表现的因子。研究过程涵盖在不同市场的长时间经验验证。

经济理念。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。

审慎投资。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、社会责任和公司治理 (ESG) 因子。

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投资过程

荷宝的固定收益因子投资策略利用了低风险、质量、价值、动量和规模等因子。所采用的并非通用因子定义,这些因子经过我们优化从而回避无效益风险、获取最大风险调整回报。 固定收益因子投资策略的目标是在整个市场周期内实现风险调整后收益增长。这表示或在波动性与市场相当的情况下获得更高收益,或在收益相当的情况下降低风险。在这些因子投资策略中,在精细控制流动性、周转率和交易成本的同时,对那些在因子上得分较高的债券选择进行了优化。对于高收益和投资级信贷因子策略,荷宝的信贷分析师将额外检查我们的模型无法评估的非量化风险。

Subjects related to this strategy are:

其他

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