globalen
Factor investing works for bond portfolios, too

Factor investing works for bond portfolios, too

04-06-2019 | Insight

Bond portfolios with significant exposure to the value, momentum and low risk factors generate returns that consistently outperform the index.

  • Olaf  Penninga
    Olaf
    Penninga
    Portfolio Manager
  • Martin Martens
    Martin
    Martens
    Head of Quant Allocation Research

Most of the research that examines the benefits of factor investing is focused on the equity market. Our research shows that the benefits of a systematic, rules-based approach to selecting securities and harvesting factor premiums can also be found in the government bond market. We provide academic and empirical evidence that bond portfolios with significant exposure to the Value, Momentum and Low Risk factors generate consistently higher returns than the index, without taking on additional risk.

Stay informed on Quant investing with monthly mail updates
Stay informed on Quant investing with monthly mail updates
Subscribe

Download our research paper on factor investing for government bonds

Disclaimer:

This report is not available for users from countries where the offering of foreign financial services is not permitted, such as US Persons.

Your details are not shared with third parties. This information is exclusively intended for professional investors. All requests are checked.

Subjects related to this article are:
Logo

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.

By clicking Proceed I confirm that I am a professional investor and that I have read, understood and accept the terms of use for this website.

Decline