Amundi Asset Management

2018 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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  • Environmental Social And Governance Proposals And Shareholder Activism

    Environmental Social And Governance Proposals And Shareholder Activism

    White papersFri, 10 May 2019

    This chapter studies shareholder activism through environmental, social and governance (ESG) proposals between 1996 and 2015 filed by social responsible funds (“SRI”).

  • Asset Class Return Forecasts - Q2 - 2019

    Asset Class Return Forecasts - Q2 - 2019

    White papersFri, 10 May 2019

    This document includes the perspective of Amundi on asset returns used to build reference portfolios for our institutional clients. A publication issued annually in February covers the major macro and financial foundations of our views, while this one provides a quarterly update of our medium and long-term expected returns by asset class. 

  • European Equities: What Impacts In The Event Of A Tariff War With The United States?

    European Equities: What Impacts In The Event Of A Tariff War With The United States?

    White papersFri, 3 May 2019

    While the threat of a large-scale Sino-US tariff war appears to be receding, the US could now switch its focus to its trade deficits with the European Union. With this in mind, we wanted to find out which European equities, in terms of country, sector or individual companies, would be hardest hit by a trade conflict.

  • Cross Asset Investment Strategy - May 2019

    Cross Asset Investment Strategy - May 2019

    White papersThu, 2 May 2019

    Equity markets have remained buoyant in recent weeks: the S&P 500 is trending towards an all-time high, the European equity market (STOXX 600) is close to last year’s peak and the performances of emerging markets have also been very strong.

  • Who Will Lead The World Economy?

    Who Will Lead The World Economy?

    White papersThu, 2 May 2019

    When we talk about leadership, we also talk about rivalry… and 2018 was undoubtedly a particularly emblematic year of rivalry, especially between the United States and China, and to some extent, between the United States and Europe.

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