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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Bond allocations increase as diversification benefits come to the fore
Asset owners are, on a net basis, increasing allocations across fixed income sectors, seeking geographical diversification – particularly those in Asia-Pacific and EMEA – and trusting bonds to provide ballast against equity risk in portfolios.
Capital GroupJune 11, 2025
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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 »
Haki CrisdenApril 11, 2016
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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 » Sponsored Content
Haki CrisdenApril 6, 2016
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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 » Sponsored Content
Haki CrisdenApril 5, 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 » Sponsored Content
Haki CrisdenNovember 17, 2015
