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
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?
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
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
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
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
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
Quant strategies have performed well in credits.
01-04-2021 | インサイト
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
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?
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
Durations of fixed income indices are moving up rapidly.
28-09-2016 | インサイト
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
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
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
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 “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
Should credit investors apply a top-down or a bottom-up approach?
15-08-1999 | リサーチ