Systematic Credit Strategies Deliver Alpha With Lower Drawdowns

Systematic high-quality corporate credit strategies continued to generate excess returns in Q2, with factor discipline helping navigate geopolitical shocks, curve volatility and changing credit spreads.

• The intermediate and long strategies generated 0.12% and 0.28% gross excess returns in Q2, respectively.
• Since inception, annualised excess returns reached 72 bps for the intermediate strategy and 100 bps for the long strategy, with information ratios of 2.8 and 2.0.
• The intermediate strategy’s maximum alpha drawdown was just -5 bps, 90% below the -49 bps average for the U.S. corporate fixed-income universe.

Explore the full report for the factor framework, performance record and downside-protection characteristics.