By continuing on this site you have agreed to cookies being placed and accessed by this website. More information and adjusting cookie settings.

Robeco uses cookies to analyze your visit to this site, to share information via social media and to personalize the site and advertisements in line with your own preferences. By clicking on agree or by continuing on this site, you agree to the above. More information and adjusting cookie settings.

AGREE

Robeco uses cookies to analyze your visit to this site, to share information via social media and to personalize the site and advertisements in line with your own preferences. By clicking on agree or by continuing on this site, you agree to the above. More information and adjusting cookie settings.

AGREE

By continuing on this site you have agreed to cookies being placed and accessed by this website. More information and adjusting cookie settings.

Overview artikelen Patrick Houweling

14-09-2016 | Research | Frederik Muskens, Jeroen van Zundert, Mark Whirdy, Patrick Houweling, PhD

Recently a new factor was added to the literature: Quality. In credits, we see Quality as a natural extension of pure Low-Risk. All our credit factor models have used Quality since inception, and have expanded its use over the years.

18-07-2016 | Insight | Patrick Houweling, PhD

“Putting your research to the test is always exciting, and if it then works out well, then that’s very satisfying.” That’s how Patrick Houweling describes celebrating the first anniversary of the Global Multi-Factor Credits fund, with an outperformance chart to go with the birthday cake.

12-07-2016 | Research | Frederik Muskens, Jeroen van Zundert, Mark Whirdy, Patrick Houweling, PhD

Our factor credit strategies have two main objectives: maximizing the portfolio’s factor exposure and limiting sustainability risks. How do we integrate these two goals?

14-06-2016 | Insight | Patrick Houweling, PhD

Research shows that factor investing strategies work well in corporate bonds, but actually building a portfolio requires greater care due to liquidity issues, Robeco’s quantitative experts argue in a new white paper.

16-12-2015 | Insight | Patrick Houweling, PhD

Watch our webcast in which Patrick Houweling and Jeroen van Zundert discuss this approach to investing in credits.

11-12-2015 | Research | Jeroen van Zundert, Patrick Houweling, PhD

We provide empirical evidence that the Size, Low-Risk, Value and Momentum factors have significant risk-adjusted returns in the corporate bond market. By combining these factors in a multi-factor portfolio, drawdowns and tracking error vs. the market are reduced, while the higher return and Sharpe ratio are preserved.

29-09-2015 | Insight | Patrick Houweling, PhD

Factor investing has been successfully applied to equity markets. It can also work in the corporate bond market and can generate substantial premiums. An interview with portfolio manager and researcher Patrick Houweling.

24-07-2015 | Insight | Patrick Houweling, PhD

Most academic studies on factor investing are about equities. Patrick Houweling and Jeroen van Zundert show that factor investing also works for bonds. How has their research paper been used to create a fund?

23-07-2015 | Patrick Houweling, PhD

Robeco Global Multi-Factor Credits, launched on June 15, 2015, is an innovative fund offering balanced exposure to the Low-Risk, Value, Momentum and Size factors in the credit market.

16-06-2015 | Insight | Patrick Houweling, PhD

Interest in factor investing – investing in systematic sources of return – is rapidly increasing. Up to now most investor interest in this area has been focused on equities. But what are the possibilities for applying it to credits?

12-01-2015 | Insight | Jeroen van Zundert, Patrick Houweling, PhD

Although most factor research focuses on the equity market, the concept and benefits of factor investing apply equally well to the corporate bond market. A smart way of investing is combining the factors into a multi-factor credit portfolio in order to diversify across factors.

11-11-2014 | Insight | Jeroen van Zundert, Patrick Houweling, PhD

Two Robeco researchers have become the first to analyze the effect that factor premiums can have on corporate bond investing.

25-08-2014 | Insight | Patrick Houweling, PhD, Victor Verberk

Investing in ETFs can be very risky, especially during periods of limited liquidity. Patrick Houweling and Victor Verberk explain why and how active management and the use of derivatives can provide both a solution and an investment opportunity.

24-04-2014 | Patrick Houweling, PhD

Robeco introduced Robeco Quant High Yield Fund on March 28, 2014. By investing in credit default swap (CDS) indices, this fund offers liquid exposure to global high yield, allowing investors to tactically trade in and out of this asset category at low costs. Performance is driven by a proprietary quantitative market-timing model with a solid track record of over ten years.

24-04-2014 | Insight | Georgi Kyosev, Jeroen van Zundert, Patrick Houweling, PhD, Paul Beekhuizen

Research by Robeco and academic researchers shows that a low-risk anomaly exists in credit markets: low-risk credit portfolios earn higher risk-adjusted returns than high-risk portfolios over a full market cycle.

06-01-2014 | Interview | Patrick Houweling, PhD

Ground-breaking research by Robeco that changed the way the riskiness of corporate bonds can be evaluated has celebrated its 10th anniversary. This riskiness needs to be carefully calculated as bonds issued by companies have a greater chance of defaulting than government bonds. Their returns can also be more volatile, as they are linked to the underlying performance of the company that issues the bond.

Smart Credit Investing - Risk points and their applications

05-12-2013 | Research | Patrick Houweling, PhD, Paul Beekhuizen

Portfolio management within the fixed income credit markets consists of various, linked steps: from company analysis and relative value assessment, to constructing a well-diversified portfolio, measuring its risk, and finally attributing the realized performance to the decisions taken. All steps require an intricate knowledge of the behavior of credit markets. At Robeco we use the ‘risk point’ framework in an integrated manner in all these steps.

10-09-2013 | Insight | Patrick Houweling, PhD

Insurers need to have higher capital buffers against risk if Solvency II comes into place, forcing many to rethink the investments they are in. A potential solution lies in credits with a lower risk profile – as the clock starts ticking for investors to act.

Smart Credit Investing: the Size Premium

16-07-2013 | Research | Jeroen van Zundert, Patrick Houweling, PhD

Introduction Recently we observe a shift towards factor investing, in which institutional investors strategically allocate their long-term investment portfolios to factor premiums.1 Well-known factors are Value, Momentum, Size and Low-Risk.

17-08-2012 | Research | Daniël Haesen, CFA, Jeroen van Zundert, Patrick Houweling, PhD

Residual Equity Momentum for Corporate Bonds

16-05-2012 | Research | Daniël Haesen, CFA, Patrick Houweling, PhD

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.

18-04-2012 | Insight | Patrick Houweling, PhD

Robeco Conservative Credits exploits the low-risk anomaly in corporate bonds by investing in short-term credits with low distress risk.

01-04-2012 | Research | Daniël Haesen, CFA, Patrick Houweling, PhD, Paul Beekhuizen, Peter Kwaak, Renxuan Wang, Sander Bus, Victor Verberk

In this Research Note we show that low-risk credits had superior risk-adjusted excess returns over the past 20 years.1 By selecting low-risk bonds from low-risk issuers, investors would have earned credit-like returns at substantially lower risk.

09-12-2011 | Research | Patrick Houweling, PhD, Winfried Hallerbach, PhD

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. In this data set, the “default premium” is calculated as the difference between the total returns on long-term corporate bonds and long-term government bonds.

01-12-2010 | Research | Daniël Haesen, CFA, Patrick Houweling, PhD, Sander Bus

Generating benchmark-like returns is a difficult job in the High Yield corporate bond market. High index turnover and illiquidity, i.e. high bid-ask spreads, are the main reasons why passively tracking a High Yield index comes at significant costs.

Deel deze pagina:

Auteur

Patrick Houweling, PhD
Portefeuillemanager, Senior Quantitative Researcher