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. A multi-factor portfolio retains the high Sharpe ratio of the individual factors, but with smaller drawdowns and lower tracking error versus the market. Moreover, in a multi-asset portfolio, corporate bond factors also add value, beyond the equity factors. Read more about this white paper.
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Smart credit investing: harvesting factor premiums
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Implementing factor strategies in the corporate bond market
While factor strategies have been running for decades in equity markets, their application to corporate bonds has been pioneered in Robeco. There are many similarities between equities and credits and also important differences: in particular the liquidity of corporate bonds. Read more about this new white paper »
Haki CrisdenJune 14, 2016
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Smart Credit Investing: the Size Premium
So far, most attention for factor investing has focused on equities, but the concepts and premiums carry over to other asset classes like credits. In this note, we address a specific factor premium in the credit market, namely the size premium. This premium relates to the effect that small caps tend to outperform large caps. […]
Haki CrisdenApril 4, 2016
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The low-risk anomaly in credits
In this Research Note we show that low-risk credits had superior risk-adjusted excess returns over the past 20 years. By selecting low-risk bonds from low-risk issuers, investors would have earned credit-like returns at substantially lower risk. Read more about the low-risk anomaly in credit markets using various dimensions of risk. Read the research paper »
Haki CrisdenMarch 31, 2016
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Robeco Outlook 2016
Valuations have increased, lowering the prospect of above-average returns. This holds true for risky assets in particular, but sovereign bonds will also be expensive in the scenario of subdued but expanding growth we expect in 2016. Read more »
Haki CrisdenNovember 17, 2015
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Factor investing: it works for credits too
Pension funds, insurance companies and sovereign wealth funds increasingly apply factor investing to equities in their portfolios. And now institutional investors would also like to apply this concept to credits. A research study ( ‘Factor investing in the corporate bond market’) shows that factor strategies can be attractive in credit markets. How does this work […]
Haki CrisdenOctober 15, 2015
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Five things about maximizing factor investing performance
Although factor investing is becoming more popular, there are still plenty of questions surrounding the concept and its implementation. In Europe, the US and Asia, it is a widely debated strategy within the professional investment community. Investors are attracted by the prospect of greater diversification, higher returns and lower risk. What should investors know in […]
Haki CrisdenOctober 1, 2015
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Robeco: Expected returns 2016-2020
What returns can investors expect over the next five years? Equities remain our preferred asset class for the next five years, as we predict they will earn 5.5% annually for investors on the back of global growth. Government bonds however may see negative returns as rates begin to rise. These are the core predictions of […]
Haki CrisdenSeptember 8, 2015
