Robeco, The Investments Engineers
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17-08-2012 · Investigación

Residual Equity Momentum for Corporate Bonds

It is well documented that equity momentum has predictive power for corporate bond returns. We show that an equity momentum strategy applied to corporate bonds exhibits significant time-varying exposures to common equity and bond risk factors. The strategy thus bets on the persistence of these factor returns.

    Autores/Autoras

  • Daniël Haesen - Portfolio Manager

    Daniël Haesen

    Portfolio Manager

  • Patrick Houweling - Head of Quant Fixed Income

    Patrick Houweling

    Head of Quant Fixed Income