Systematic Investing in Credit

Dedications
Acknowledgments
Contents
Foreword
Preface
Introduction
Part One: Investing in Credit vs. Investing in a Combination of Treasuries and Equities
	1 Can a Combination of Treasuries and Equities Replace Credit in a Portfolio?
Part Two: Capitalizing on Index Inefficiencies
	Fallen Angels: Index Liquidation
		2 Fallen Angels: Characteristics, Performance, and Implications for Investors
		3 Fallen Angels: Capacity, Transaction Costs, and the Bond-CDS Basis
		4 Introducing the Fallen Angel Reversal Scorecard
	New Issuance: Index Inclusion
		5 Issuance Dynamics and Performance of Corporate Bonds
		6 The Value of Waiting to Buy: Inclusion-Delay Investment-Grade Corporate Indices
		7 Concessions in Corporate Bond Issuance: Magnitude, Determinants, and Post-Issuance Dynamics
	Performance Cost of Investment Constraints
		8 “Try-and-Hold” Credit Investing
		9 Effect of Rating-Based Stop-Loss Rules on Performance
Part Three: Performance Implications of Portfolio Characteristics
	10 Coupon Effects in Corporate Bonds: Pricing, Empirical Duration, and Spread Convexity
	11 Maturity Dependence of Corporate Bond Excess Returns
	12 ESG Investing in Credit
Part Four: Factor Investing in Credit
	Value Investing
		13 Relative Value Investing in Credit Using Excess Spread to Peers
		14 Long-Horizon Value Investing in Credit Using Spread per Unit of Debt-to-Earnings Ratio
	Momentum Investing
		15 Equity Momentum in Credit
		16 Corporate Sector Timing Using Equity Momentum
	Size Effect
		17 Issuer Size Premium in Credit Markets
	Combining Factor Strategies
		18 Integrating Systematic Strategies into Credit Portfolio Construction
		19 OneScore: Combining Quantitative and Fundamental Views in Credit
Part Five: Using Equity-Related Data, Dynamics, and Instruments
	20 Does the Post-Earnings-Announcement-Drift Extend to Credit Markets?
	21 Equity Short Interest as a Signal for Credit Investing
Index