Successful Factors to Select Outperforming Bonds

Posted: 4 Sep 2018

Date Written: January 30, 2001


We describe a way of selecting corporate bonds that will produce better performance than the market as a whole. This research has many similarities with the well-investigated field of factor based stock selection strategies. The variables that prove to have forecasting power are Bond momentum, Valuation measured by the spread and Equity revisions. A multi-factor strategy leads to an even better performance with stable results over time due to a low correlation between the variables. The strategy both selects winners and avoids losers.

Keywords: Factor Investing, Factors, Value, Momentum, Size, Credts, Corporate Bonds, Investment Decisions, Information and Market Efficiency, Portfolio Choice

Suggested Citation

Hottinga, Jouke and Leeuwen, Erik van and van IJserloo, Judith, Successful Factors to Select Outperforming Bonds (January 30, 2001). Journalof Portfolio Management, volume 28, number 1, fall 2001, Available at SSRN:

Jouke Hottinga

AEGON Group ( email )

2501 CE The Hague

Erik van Leeuwen (Contact Author)

Robeco Asset Management ( email )

Rotterdam, 3011 AG

Judith Van IJserloo

ROBECO Group ( email )

P.O. Box 973
3000 AZ Rotterdam

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