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Factors and Corporate Bonds: Single and Multi-Factor Approaches to Corporate Credit

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Factors and Corporate Bonds: Single and Multi-Factor Approaches to Corporate Credit

Jan 6, 2020

Investors have increasingly turned to equity factors as building blocks for their stock portfolios as a way to measure performance, analyze risk exposures or seek enhanced returns. In recent years, some investors have sought to extend a factor framework to fixed income. But these efforts by and large have not been successful, as equity and fixed-income investors have not been speaking a common language. We simulated the performance of six fixed-income factors — value, low size, quality, momentum, carry and low risk — that broadly align with MSCI’s equity factors. Did these factors offer a risk-return edge?


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Research authors

  • Hitendra D Varsani, Managing Director, MSCI Research
  • Vipul Jain, Vice President, MSCI Research
  • Rohit Mendiratta, Vice President, MSCI Research

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