
Quants try to explain why value works better in credit
Equity value may be in the doldrums, but the strategy works in credit – investors think they know why

Even as quant value strategies in stocks sputtered after the Covid crisis, in one corner of the market they’ve done markedly better: credit. Quants are pointing to structural reasons for the contrast.
At German systematic manager Quoniam, a pure-value portfolio in US investment-grade credit – representing returns to the value factor alone, though the firm trades it as part of a composite – would have been positive throughout the crisis, Quoniam says, with returns of 2.4% year to date.
“Quoniam
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact [email protected] to find out more.
You are currently unable to copy this content. Please contact [email protected] to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
More on Investing
Regulation
What lies beneath: Nomura’s iceberg balance sheet
Collateral received by the Japanese bank exceeds its total on-balance-sheet assets – does it matter?
Receive this by email