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Ten years of successful factor investing in credit markets
Ten years of successful factor investing in credit markets
A decade of live track-records shows that our factor-based credit investing approach delivers improved risk-adjusted returns compared to the market.
30-06-2022 | インサイト
Shielding factor portfolios from credit downgrades and defaults
Shielding factor portfolios from credit downgrades and defaults
Gaining more by losing less in multi-factor credit strategies.
30-11-2021 | インサイト
Are credit factor premiums robust to inflation?
Are credit factor premiums robust to inflation?
With inflation worries having gained momentum, we investigate how inflation has affected credit factor premiums in the past.
24-09-2021 | インサイト
Seizing opportunities in emerging markets credits
Seizing opportunities in emerging markets credits
Global credit investors can no longer easily ignore emerging markets (EM) hard-currency corporate bonds.
08-09-2021 | リサーチ
Water and waste as the next frontier in improving sustainability in factor credits
Water and waste as the next frontier in improving sustainability in factor credits
We impose water and waste constraints on our factor credit strategies.
03-08-2021 | インサイト
Deep evidence that factor investing works well in bond markets
Deep evidence that factor investing works well in bond markets
More than two centuries of data confirms that value, momentum and low risk offer attractive premiums.
12-07-2021 | インサイト
Creating sustainable multi-factor bond portfolios
Creating sustainable multi-factor bond portfolios
Our simulations show we can do this without materially reducing factor exposures and hence the alpha potential.
29-06-2021 | インサイト
There’s no quant crisis in credits
There’s no quant crisis in credits
Quant strategies have performed well in credits.
01-04-2021 | インサイト
Is there value in fallen angels?
Is there value in fallen angels?
Credit downgrades can be an opportunity for high yield investors.
29-10-2020 | インサイト
Enabling insurers to achieve capital-efficient returns
Enabling insurers to achieve capital-efficient returns
The majority of assets owned by insurers are invested in investment grade fixed income.
11-04-2019 | インサイト
Does Carry add value to existing credit factors?
Does Carry add value to existing credit factors?
Is Carry a factor in its own right in credit markets?
11-07-2017 | リサーチ
Rising benchmark durations threaten index-focused bond investors
Rising benchmark durations threaten index-focused bond investors
Durations of fixed income indices are moving up rapidly.
28-09-2016 | インサイト
Smart credit investing: harvesting factor premiums
Smart credit investing: harvesting factor premiums
Although most factor research focuses on the equity market, the concept and benefits of factor investing apply equally well to the corporate bond market.
12-01-2015 | インサイト
Residual Equity Momentum for Corporate Bonds
Residual Equity Momentum for Corporate Bonds
It is well documented that equity momentum has predictive power for corporate bond returns.
17-08-2012 | リサーチ
On the performance of fixed income exchange-traded funds
On the performance of fixed income exchange-traded funds
Are fixed income exchange-traded funds (ETFs) really able to track their benchmarks?
15-06-2012 | リサーチ
On the nature and predictability of corporate bond returns
On the nature and predictability of corporate bond returns
Corporate bond returns consist of two distinct components: an interest rate component, which is default-free and anti-cyclical, and a credit spread component, which is default-risky and pro-cyclical.
16-05-2012 | リサーチ
Ibbotson's default premium: risky data
Ibbotson's default premium: risky data
Ibbotson’s “Stocks, Bonds, Bills and Inflation” data set is widely used because it provides monthly US financial data series going back to as early as 1926.
09-12-2011 | インサイト
Value of security selection versus asset allocation in credit markets
Value of security selection versus asset allocation in credit markets
Should credit investors apply a top-down or a bottom-up approach?
15-08-1999 | リサーチ