Two Robeco researchers have become the first to analyze the effect that factor premiums can have on corporate bond investing. The work by Patrick Houweling and Jeroen van Zundert aims to show that the factors used successfully in equity market investing can also work in the corporate bond market. Read more about this research study.
Sponsored Content
How factor investing also works for corporate bonds
Jeroen van Zundert, Patrick Houweling PhD, research, Robeco Asset Management
Sponsored Content
Why Asian equities’ growth will outlast the AI-driven semiconductor cycle
In the latest episode of the Fiduciary Investors Series, Liao spoke with Top1000funds.com Asia Pacific correspondent Darcy Song on why the convergence of innovation, demographics and improving shareholder returns makes Asian equities an increasingly compelling diversification trade for asset owners navigating a geopolitically fractured world.
Sort content by
Low-volatility evidence dating back to 1873
As new historical databases are opening up, there are great opportunities for out-of-sample tests of market anomalies. Research shows that the volatility effect also existed in the 19th century. Read more »mrec4inarticleinline Sponsored Content scnative1 scnative2 scnative3
Factor Investing Book, 2nd edition
The 2nd edition of Robeco’s Factor Investing Book is out, which brings together ten articles that Robeco researchers have published over recent years. The book consists of three parts: strategic allocation to factor premiums, understanding the factor premiums and how to implement factor investing in an efficient way. Request a hard copy of the book »
Residual Equity Momentum for Corporate Bonds
It is well documented that equity momentum has predictive power for corporate bond returns. We show that an equity momentum strategy applied to corporate bonds exhibits significant time-varying exposures to common equity and bond risk factors. Find out more about the residual momentum strategy. Read the research paper »mrec4inarticleinline Sponsored Content scnative1 scnative2 scnative3
Factor Investing in the Corporate Bond Market
We provide empirical evidence that the Size, Low-Risk, Value and Momentum factors have economically meaningful and statistically significant risk-adjusted returns in the corporate bond market. Since the factors capture different effects, a combined multi-factor portfolio halves the tracking error compared to the individual factors. Read the research paper »mrec4inarticleinline Sponsored Content scnative1 scnative2 scnative3
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.
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 »mrec4inarticleinline
Leave a Comment
You must be logged in to post a comment.
Login