Disclaimer

The information contained in the website is solely intended for professional investors. Some funds shown on this website fall outside the scope of the Dutch Act on the Financial Supervision (Wet op het financieel toezicht) and therefore do not (need to) have a license from the Authority for the Financial Markets (AFM).

The funds shown on this website may not be available in your country. Please select your country website (top right corner) to view the products that are available in your country.

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 product should only be made after reading the related legal documents such as management regulations, prospectuses, annual and semi-annual reports, which can be all be obtained free of charge at this website and at the Robeco offices in each country where Robeco has a presence.

Please confirm that you are a professional investor and/or institutional investor and that you have read, understood and accept the terms of use for this website..

I Disagree
Factor Investing in the Corporate Bond Market

Factor Investing in the Corporate Bond Market

11-12-2015 | Research

We provide empirical evidence that the Size, Low-Risk, Value and Momentum factors have economically meaningful and statistically significant risk-adjusted returns in the corporate bond market.

  • Jeroen  van Zundert
    Jeroen
    van Zundert
    Researcher Quantitative Credits
  • Patrick  Houweling
    Patrick
    Houweling
    Executive Director, Researcher & Portfolio Manager Quantitative Credits

Since the factors capture different effects, a combined multi-factor portfolio halves the tracking error compared to the individual factors. The returns are up to three times larger than the market, and cannot be explained by risk or the equivalent equity factors. The results are robust to transaction costs, alternative factor definitions and the specific portfolio construction settings. Finally, allocating to corporate bond factors has added value beyond allocating to equity factors in a multi-asset context.

Stay up-to-date on Quant insights
Subscribe