The low-risk anomaly in credits

The low-risk anomaly in credits

01-04-2012 | Research

In this Research Note we show that low-risk credits had superior risk-adjusted excess returns over the past 20 years. 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.

  • Patrick  Houweling
    Co-Head of Quant Fixed Income and Lead Portfolio Manager
  • Victor  Verberk
    CIO Fixed Income and Sustainability
  • Sander  Bus
    Co-head Credit team
  • Peter Kwaak
  • Renxuan
    Researcher Quantitative Strategies
  • Paul Beekhuizen
    Fixed Income Researcher
  • Daniël  Haesen
    Portfolio Manager


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.

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