OUT-PERFORMING CORPORATE BONDS INDICES WITH FACTOR INVESTING

Authors

  • Thomas HECKEL BNP Paribas Asset Management
  • Zine AMGHAR BNP Paribas Asset Management
  • Isaac HAIK BNP Paribas Asset Management
  • Olivier LAPLENIE BNP Paribas Asset Management
  • Raul LEOTE DE CARVALHO Leote de Carvalho BNP Paribas Asset Management https://orcid.org/0000-0001-9204-3662

DOI:

https://doi.org/10.54695/bmi.165.4476

Keywords:

factor investing, smart beta, corporate bonds, credit, factor premiums, high yield, investment grade, low-risk, value, momentum, quality

Abstract

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.

Published

2021-10-27

How to Cite

Thomas HECKEL, Zine AMGHAR, HAIK, I., Olivier LAPLENIE, & Leote de Carvalho, R. L. D. C. (2021). OUT-PERFORMING CORPORATE BONDS INDICES WITH FACTOR INVESTING. Bankers, Markets & Investors, 165(2), 3. https://doi.org/10.54695/bmi.165.4476

Issue

Vol. 165 No. 2 (2021): Bond Factors Investing

Section

Articles

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