Amundi Asset Management

2019 Top 400 ranking: 9http://www.amundi.com

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Amundi

Traditional and Alternative Factors in Investment Grade Corporate Bond Investing

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.

Download the complete white paper at the link beneath Related Files

 
 
 
Head Office
90, boulevard Pasteur
Paris
75015
France
Company website:
http://www.amundi.com
Year Founded:
2010
No. of investment offices worldwide:
6

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