Liquidity snarls progress on factor investing in credit

Asset managers are re-engineering strategies borrowed from equity to fit practicalities of trading bonds

Dutch asset manager Robeco is among a handful of factor-investing specialists striving to put their systematic techniques to work in credit. The firm’s quant team has identified four characteristics of corporate bonds – ‘factors’ in industry speak – which it believes deliver a premium to investors. They are borrowed from long-established strategies in equities that tilt portfolios towards value, momentum, low risk or smaller-sized stocks. But in bonds, when the firm tries to put on trades to

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Asset-liability management: Special report 2023

There is nothing new about the dynamics behind the ALM banking crisis of earlier this year: maturity transformation, liquidity risk and interest rate risk are at the heart of the traditional banking business model. But these old threats have been given…

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