Factor investing can apply to bond investing, says Amundi research

first_imgNew research from Amundi has found that failing to use factor investing techniques for investment grade bond allocations can cost investors potential return.The study showed that, since the 2008 financial crisis, the behaviour of the euro-denominated investment grade corporate bond market could be explained by a number of risk factors. These include both traditional factors – duration, spread and liquidity risk – and alternative risk factors such as value and momentum.While factor investing is now a common approach for equities, it is still in its infancy in the bond universe.The authors of the study – from Amundi’s fixed income platform and quantitative research teams – showed that, over the period 2003 to 2018, the behaviour of the investment grade corporate bond market was better explained by risk factors than by traditional capital asset pricing models. The effect was more marked since 2009, the researchers found. The study concluded that, by failing to consider these alternative factors, an investor would not capture certain components of potential return in the investment grade corporate bond market.The authors said a factor-based approach should result in a portfolio with more moderate performance in periods of strong market growth, but with more resilience in periods of sharp market declines than a portfolio managed in a more traditional way.The study also covered the US dollar universe, finding that value was already a significant factor for active managers from 2003 to 2009, and remained significant from 2009 to 2018.The authors said that alternative risk factor specifications – mostly coming from their analysis in the euro universe – achieved reasonable results in confirming the existence of the value factor in the US dollar universe. Jean-Marie Dumas, head of fixed income solutions at Amundi and one of the study’s authors, said: “We have been able to both quantify the behaviour of our alternative factors in credit management, as well as position them into a multi-factor framework integrating traditional factors.”last_img read more

Syracuse drops both games in doubleheader against No. 11 Florida State

first_img Published on March 19, 2016 at 8:34 pm Contact Jack: jfupton@syr.edu Syracuse (12-13, 1-4 Atlantic Coast) lost both games of its doubleheader Saturday against No. 11 Florida State (22-3, 2-0). The Orange lost the first 4-2, and the second 4-1.Syracuse struggled to score in both games, facing two FSU pitchers with double-digit win totals.In game one, AnnaMarie Gatti, who got the loss, put Syracuse behind early. After retiring the first batter of the game, the sophomore allowed a base hit. The runner then advanced a base on a wild pitch, before advancing two more bases and scoring on back-to-back illegal pitches.After another runner reached base in the second inning and stole second, Gatti threw another wild pitch, advancing the runner to third. Back-to-back hits scored two Seminoles, putting FSU up 3-0.Syracuse got on the board in the third when Alyssa Dewes tripled with one out. Sammy Fernandez would bring her home on a sacrifice fly to give Syracuse its first run of the game.AdvertisementThis is placeholder textThe Seminoles responded in the fourth, scoring their final run on a fielders choice.Gatti pitched 3 1/3 innings allowing three earned runs and one unearned and was replaced by Sydney O’Hara who pitched 2 2/3 scoreless innings.In game two, Syracuse got behind early once again.With Jocelyn Cater in the circle, Syracuse allowed a two-run home run in the first inning and FSU never looked back.The Seminoles tacked on another two runs in the second inning to double their lead. The first run was scored after Cater allowed a double down the right field line. That runner would later come into score on a fielder’s choice to second base.Maddi Doane singled in the lone run for the Orange in the third inning, scoring Hannah Dossett.Cater pitched all six innings and moved to 6-4 on the season with the loss.Syracuse comes home for the first time all season and will play a doubleheader against Niagara (2-10) on Wednesday. Comments Facebook Twitter Google+last_img read more