LQG Seminars

ENCORE - Engaging New Controversial Original Rigorous Entertaining

Systematic Investing In Credit

Seminar by Simon Polbennikov, Arik Ben Dor and Albert Desclée

9th March 2021 – On-Line

Systematic Investing In Credit is a focus for institutional investors and the subject of a new book by inter alia Albert Desclee, Arik Ben Dor and Simon Polbennikov – three members of the Barclays Quantitative Portfolio Strategy group who will present this seminar in three parts.  In the interests of time their co-authors Lev Dynkin and Jay Hyman will not be formally delivering the seminar.

Part 1. How to profit from the inefficiencies inherent in corporate bond indices which result from their market weighting and inclusion/exclusion criteria and other construction rules. The performance cost of the rules and constraints will be discussed and an outline presented of ways to outperform benchmark indices by exploiting the structural inefficiencies.

Part 2. A review of the empirical and practical aspects of systematic investing in corporate bonds with examples including the relative value, equity momentum, and issuer size factors.

Part 3. A discussion of innovative research applying equity-related data and methodologies to investment decisions in credit.

In other words, How to make money in bond land informed by innovative published research and also consider …:
If credit is an asset class only suitable for fundamental investors?
How scientific can credit portfolio management be?
Do equity style factors apply to credit investing?

 

Arik Ben Dor, PhD

Head of Quantitative Equity Research at Barclays

Arik Ben Dor, PhD is the Head of Quantitative Equity Research at Barclays and a member of QPS since 2004. Dr. Ben Dor oversaw large scale research projects in equities, rates, credit, and hedge funds over the past two daces used by the largest institutional investors globally. His innovative work on Duration Times Spread (DTS) and the use of information from credit markets in systematic equity strategies was broadly adopted by portfolio managers and affected industry practices. He co-authored three books on quantitative investing in credit securities and published over a dozen articles in leading industry journals. He is a member of the Journal of Portfolio Management and Journal of Fixed Income editorial boards. Prior to Barclays, Dr. Ben Dor worked at Lehman Brothers and Morgan Stanley. He holds a PhD in Finance from the Kellogg Business School at Northwestern University, and completed both his B.A. and M.A. in Economics from Tel Aviv University, Cum Laude.

Albert Desclée

Managing Director in the QPS Group Barclays Research

Albert Desclée is a Managing Director in the QPS Group at Barclays Research, based in London, and is responsible for its European activities. He advises investors on portfolio construction, including benchmark selection, risk management, asset allocation, choice of investment style and optimal risk budgeting. Albert joined Barclays in 2008 from Lehman Brothers, where he had the same responsibilities. Prior to joining Lehman Brothers’ research department, he worked at Salomon Brothers in London, where he was in charge of fixed income index analytics and portfolio construction advisory. Albert graduated from the Catholic University of Louvain (Belgium) and obtained an MBA from INSEAD.

Simon Polbennikov

Managing Director in the QPS Group Barclays Research

Simon Polbennikov is a Managing Director in the Quantitative Portfolio Strategy group. He advises institutional investors on quantitative aspects of portfolio management. Dr. Polbennikov is responsible for empirical research on investment strategies, hedging, portfolio construction, and benchmark customization. He joined Barclays in October 2008 from Lehman Brothers where he held a similar position. He received a PhD degree from Tilburg University, Netherlands. Prior to that, he studied physics at Lomonosov’s Moscow State University, Russia and economics at the New Economic School, Moscow.