middle easten

Disclaimer

Robeco Institutional Asset Management B.V. (Dubai office) is regulated by the Dubai Financial Services Authority (“DFSA”) and only deals with Professional Clients and does not deal with Retail Clients as defined by the DFSA.

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.

Please confirm that you are a professional investor and/or institutional investor and that you have read, understood and accept the terms of use for this website.

I Disagree
Accounting-based anomalies in the bond market

Accounting-based anomalies in the bond market

22-06-2016 | From the field
  • David Blitz
    David
    Blitz
    PhD, Executive Director, Head of Quant Selection Research

This study examines whether over thirty accounting-based fundamental variables known to be related to future stock returns are also effective for predicting future bond returns. The frequency of significant returns to trading strategies based on these anomalies turns out to be similar for the bond and stock markets.

Although the magnitude of returns is generally lower with bonds, the significance and Sharpe ratios of these returns are comparable to those observed with stocks. Interestingly, the bond strategies remain significant after controlling for exposures to the equivalent strategies in the stock market, suggesting that they offer different alphas.

We like this study because it serves as an out-of-sample test for the strategies known to be effective in the stock market, and also because it suggests that quant (or factor) investing may be just as applicable to the bond market as to the stock market.

Stay informed on Quant investing with monthly mail updates
Stay informed on Quant investing with monthly mail updates
Subscribe
From the field
From the field

Our researchers publish many whitepapers based on their own empirical studies; they also follow quantitative research done by others.

Read all articles
Subjects related to this article are: