Fixed Income Factors

AQR vs Robeco

September 2023. Reading Time: 10 Minutes. Author: Nicolas Rabener.


  • 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


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.

Fortunately, there are some professors like Professor Kenneth R. French at the Tuck School of Business at Dartmouth College that make their data library available to the public. Although this typically represents the research output rather than the input, it has helped thousands of financial researchers study financial markets, including this grateful author.

Similarly, some asset managers have started to offer their research output available for download as Excel files. AQR Capital Management, which was likely inspired by Professor French given the founder’s academic education at the University of Chicago, provides data sets for factor investing across asset classes. Robeco, another asset manager, has followed this approach.

Most researchers focus on factor investing in equity markets, but both AQR and Robeco offer data for bond markets as well, which is perhaps an underutilized free resource. In this research article, we will explore fixed income factors by comparing these two data sets.


There are no standard definitions for factors across asset classes, although some are more heterogeneous than others. For example, momentum tends to be defined as the performance over the last 12 months, excluding the most recent one, which is applicable to stocks, bonds, currencies, and commodities. However, there are many ways of measuring the quality of a company or a bond, and is very much in the eye of the beholder.

Factor definitions in fixed income are more heterogeneous than in equities, perhaps as a result of Professor Eugene Fama and Professor French setting certain standar