2026/04/14 – In-Person and On-Line
Better Together: Fundamental and Systematic Views in Credit Investing
Simon Polbennikov
The LQG is very grateful to Snowflake our hosts of this seminar.
Better Together: Fundamental and Systematic Views in Credit Investing
Using historical credit research recommendations and signals from a live value momentum strategy, we show that fundamental and systematic views in credit are complementary and mutually reinforcing. Backtests demonstrate that incorporating systematic signals can strengthen fundamental conviction and improve performance.
- Integrating fundamental analyst views with systematic credit signals improves active credit outcomes by filtering out positions where the two disagree and reinforcing those where they align
- Analyst recommendations that agree with systematic signals exhibit significantly higher success rates, while disagreements reduce effectiveness relative to standalone fundamental views
- At the portfolio level, filtering out conflicting views and overweighting aligned positions materially improves both active returns and the information ratio
Links to the book on systematic investing in credit and journal articles that Simon will refer to.
Systematic Investing in Credit. Frank J. Fabozzi Series. Hoboken, NJ: John Wiley & Sons
Implementing Value and Momentum Strategies in Credit Portfolios. The Journal of Portfolio Management, Special Issue 2021, 47(2), 82-98
The Anatomy of Credit Returns: Return Attribution at Issue Level. The Journal of Fixed Income, Spring 2006, 35(4) 25-42
About the Speaker
Simon Polbennikov
Managing Director
Barclays’ Quantitative Portfolio Strategy Group
Simon Polbennikov is a Managing Director in Barclays’ Quantitative Portfolio Strategy group, where he leads empirical research on systematic credit, investment styles, portfolio construction, and risk. His work focuses on delivering data-driven insights to support institutional investment decision-making. The Quantitative Portfolio Strategy (QPS) team has been ranked #1 in Quantitative Analysis in both the US and Europe by the Extel/Institutional Investor survey for four consecutive years (2022–2025).
Simon is the co-author of two influential books: Systematic Investing in Credit (Frank J. Fabozzi Series, Wiley, 2021) and Measuring ESG Effects in Systematic Investing (The Wiley Finance Series, 2024), which examine the application of quantitative techniques in credit and ESG investing.
Simon joined Barclays in 2008 from Lehman Brothers, where he held a similar role. He holds a degree in physics from Moscow State University and a PhD. in empirical finance from Tilburg University in the Netherlands.
