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2021
- handle: 10670/1.3yop41
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Factor investing smart beta corporate bonds credit factor premiums high yield investment grade low-risk value momentum qualitySujets proches
Factors Agents, Manufacturers' Manufacturers' representatives Indices Factors Corporates (Bonds)Citer ce document
Thomas Heckel et al., « Out-performing corporate bonds indices with factor investing », Bankers, Markets & Investors, ID : 10670/1.3yop41
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We considered a large number of factors from value, quality, low risk and momentum styles and show that these factors can be used to select the corporate bonds with the highest risk-adjusted returns. Our results were confirmed for the three largest corporate bond universes, namely those defined by U.S. Investment Grade, Euro Investment Grade and U.S. High Yield benchmark indices. The factors we investigated can be used to create investment strategies designed to out-perform these benchmark indices by overweighting the cheapest bonds with the strongest performance trends from the most profitable, better managed and less risky companies. JEL Classification: G11, G12, G14, E44.