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 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.