united statesen

Insights

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 has the potential to delivers improved risk-adjusted returns compared to the market.
30-06-2022 | Insight
Quant modeling can use non-numerical data, too
Quant modeling can use non-numerical data, too
We find that text analysis can predict the risk and return characteristics of corporate bonds.
10-12-2021 | Insight
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 | Insight
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 | Insight
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 | Insight
There’s no quant crisis in credits
There’s no quant crisis in credits
Quant strategies have performed well in credits.
01-04-2021 | Insight
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 | Insight
Duration Times Spread: measuring credit risk
Duration Times Spread: measuring credit risk
Accurately measuring credit risk is a significant challenge for credit investors.
10-12-2019 | Research
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.
19-08-2019 | Insight
Duration Times Spread: a measure of spread exposure in credit portfolios
Duration Times Spread: a measure of spread exposure in credit portfolios
Duration Times Spread (DTS) is the market standard method for measuring the credit volatility of a corporate bond.
22-06-2019 | Research