Investing with Style in Liquid Private Debt

被引:1
作者
Maehlmann, Thomas [1 ,2 ]
Sukonnik, Galina [3 ]
机构
[1] Catholic Univ Eichstaett Ingolstadt, Finance, Ingolstadt, Germany
[2] Catholic Univ Eichstaett Ingolstadt, Banking & Finance, Ingolstadt, Germany
[3] DWS Int GmbH, Multi Asset & Solut Grp, Frankfurt, Germany
关键词
factor investing; leveraged loans; momentum; value; CROSS-SECTION; CORPORATE; RISK; MOMENTUM; RETURNS;
D O I
10.1080/0015198X.2022.2085017
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
This paper extends the analysis of systematic investment approaches to broadly syndicated leveraged loans. We find that exposures linked to (short-term) momentum and valuation styles (and a combination thereof) are well-compensated: monthly rebalanced long-only portfolios of high value and momentum loans generate Sharpe and information ratios well above one and economically and statistically significant alphas. Factor portfolio performance deteriorates but remains significant over longer investment horizons. An important implication of our research is that active credit managers employing loan trading strategies that are momentum- and value-neutral do not make use of a viable source of additional return.
引用
收藏
页码:94 / 114
页数:21
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