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Traditional and Alternative Factors in Investment Grade Corporate Bond Investing

 

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Abstract

The concept of factor investing and the debate around passive and active management has emerged since the end of the 2000s and has completely changed the landscape of equity investing. Today, institutional investors structure their strategic equity allocations essentially around risk factors. Size, value, low beta, momentum and quality are among the most popular factors in use.

The factor-investing approach has recently been extended to multi-asset portfolio management and it is known as the Alternative Risk Premia (ARP) model. This model recognizes that the construction of large diversified portfolios cannot be reduced to an allocation policy between asset classes alone, between stocks, bonds and other investments. Indeed, diversification is multifaceted and must also take into account alternative risk factors.

BEN SLIMANE Mohamed , Fixed-Income Quantitative Research
DE JONG Marielle , PhD, Head of Fixed-Income Quantitative Research
FREDJ Hamza , Fixed Income Solutions Portfolio Manager
SRB Michael , Fixed Income Solutions Portfolio Manager
DUMAS Jean-Marie , Head of Fixed Income Solutions & Loan Management at Amundi

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