Quants try to explain why value works better in credit

Equity value may be in the doldrums, but the same strategy works in credit – investors think they know why

Even as quant value strategies in stocks sputtered after the Covid crisis, in one corner of the market they’ve done markedly better: credit. Quants are pointing to structural reasons for the contrast.

At German systematic manager Quoniam, a pure-value portfolio in US investment-grade credit – representing returns to the value factor alone, though the firm trades it as part of a composite – would have been positive throughout the crisis, Quoniam says, with returns of 2.4% year to date.

“Quoniam