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
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
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
We impose water and waste constraints on our factor credit strategies.
03-08-2021 | Insight
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
Quant strategies have performed well in credits.
01-04-2021 | Insight
Active ownership: Challenge Accepted – Engage to change
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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
Accurately measuring credit risk is a significant challenge for credit investors.
10-12-2019 | Research
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 (DTS) is the market standard method for measuring the credit volatility of a corporate bond.
22-06-2019 | Research