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Frank J. Fabozzi

Systematic Investing in Credit

Authored by members of the Quantitative Portfolio Strategy Group at Barclays Research--a recognized authority in the field--Systematic Investing in Credit is based on their innovative research of timing signals in credit markets and is written in an intuitive yet quantitatively rigorous style. It opens with a powerful empirical study showing that credit, as an asset class, has consistently outperformed a risk-matched combination of equities and Treasuries and explaining it by unique risk factor exposures embedded in credit securities. Next, you'll learn how to capitalize on inefficiencies of indices caused by their rules-based construction such as market weighting and inclusion/exclusion criteria. The authors discuss the performance cost of these constraints and ways to exploit the resulting inefficiencies to outperform credit indices. The authors proceed to analyze the performance and risk implications of portfolio characteristics--both traditional ones like coupon level and maturity distribution, and newer ones like ESG scores. The book presents the authors' original value model as well as their momentum model, which is based on equity returns of a given issuer. The issuer size factor is also discussed. Included next is an analysis of optimal ways of combining factor signals in a portfolio while considering practical turnover limits and trading costs. The group's research expertise spans both equity and fixed income markets. You'll read about using equity-related data and methodologies to enhance credit portfolio performance. Perfect for institutional investors, portfolio managers, and hedge fund professionals, Systematic Investing in Credit belongs on the bookshelves of all practitioners and academics involved in credit markets.

Systematic Investing in CreditHardcover, 10 December 2020

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