A robust Corporate Bond Multi-Factor Strategy in a volatile market

Almost 2 years ago, we argued that a Multi-Factor strategy can offer effective and consistent identification of bonds and therefore, lead to robust outperformance against the global high yield benchmark. In this paper, we aim to explore this strategy in relation to the current situation, as volatility has now returned to market in 2022. Our focus is therefore primarily on the performance of inflationary pressure, high energy prices and interest rate volatility and the comparison of this to the previous COVID-19 crisis. To achieve superior performance through these extreme environments, it is essential for the strategy to be anchored within a qualitative process, in which we combine the Multi-Factor strategy with a strong fundamental credit analysis, assessment of liquidity and market experience.