Double click here to edit new Home Header component
Investment Bank
How can we help?
Parsys 1
Parsys 2

Barclays Quantitative Portfolio Strategy team, a recognised authority in the field of systematic investing with decades of experience, published their latest book entitled Systematic Investing in Credit, based on their innovative research of timing signals in credit markets. This is one of the first books to help facilitate inclusion of systematic strategies in credit portfolio management.

The book presents empirical evidence and reasoning for the outperformance of credit versus a risk-matched combination of equities and Treasuries, describes ways to capitalise on inefficiencies of indices caused by their rules-based construction, and discusses performance implications of bond portfolio characteristics including ESG.  Factor investing in credit is also reviewed, based on the authors' original value and momentum models, as well as the issuer size factor and optimal ways of combining factor signals in a portfolio with turnover limits and trading cost constraints. In addition, the authors demonstrate their use of equity-related methodologies and data in forming credit selection signals.

Investors will learn:

  • How to capitalise on index inefficiencies
  • How to analyse implications of portfolio characteristics (ESG, Coupon, Maturity)
  • How to systematically apply factor investing in credit (Value, Momentum, Size)
  • How to use equity-related data and methodologies to enhance credit portfolio performance

Systematic Investing in Credit is now available from Wiley Publishers.

Parsys 3
Parsys 4

Related content

Quantitative Portfolio Strategy 

Provides insights into all aspects of the investment process, across asset classes.


ESG investing yields positive returns in select bond markets 

An expanded Impact Series study finds that tilting portfolios in favour of high ESG bonds can generate positive returns across various markets, geographies and sectors.

Parsys 5
Parsys 6
Parsys 7
Parsys 8
Parsys 9
Parsys 10
Parsys 11
Parsys 12
Parsys 13
Parsys 14
Parsys 15
Parsys 16
Parsys 17
Parsys 18
Parsys 19
Parsys 20
iParsys for Double Pixel component