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Factor Exposure Analysis 107: Fixed Income Factors

AQR vs Robeco

Nicolas Rabener
10 min read
4 Sep 2023

SUMMARY

  • Factor investing is less established in bond than in stock markets
  • Comparing AQR & Robeco fixed income factors highlights significant differences
  • Questionable whether equity-inspired or fixed-income factors are more appropriate

INTRODUCTION

A quant without data is like a ship without a sail. Naturally, data can be purchased from vendors like Bloomberg or FactSet, but many financial researchers lack the funding to do so. A Bloomberg terminal is priced at $24,000 per annum, but that does not provide access to the raw sets of fundamental and price data that a quant requires to run extensive backtests.

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