Summary

Abstract

While the concept of factor investing has gained significant traction since the 2000s with the consequence of altering the landscape of equity investing, factor investing in fixed income remains in its infancy. Debate remains over whether alternative risk factors in the bond space - as defined in academic literature - capture genuine risk sources, or whether they are only a repackaging of traditional bond risks.
By amending specifications for new alternative risk factors (value, momentum, low volatility and size) in the corporate investment grade bond market and integrating them alongside traditional risk factors into a multi-factor framework, Amundi has developed a unique approach to factor investing.

Our findings show that our alternative risk factors value and momentum are relevant to explain the return of euro-denominated and U.S. dollar-denominated investment grade corporate bond returns over the period 2003-2018.

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Authors

RC - Author - Ben Slimane Mohamed
Mohamed BEN SLIMANE
Head of Fixed Income Quant Portfolio Strategy, Amundi Investment Institute
Marielle DE JONG
PhD, Head of Fixed-Income Quantitative Research
Jean-Marie DUMAS
Head of Fixed Income Solutions
Hamza FREDJ
Fixed Income Solutions Portfolio Manager
RC - Author - SEKINE Takaya
Takaya SEKINE
Deputy Head of Quant Portfolio Strategy, Amundi Investment Institute
Michael SRB
Fixed Income Solutions Portfolio Manager
RC - Author - BLANQUE Pascal
Pascal BLANQUE