AQR White Paper
This paper aims to increase familiarity of the credit asset class and provide an overview of our approach to systematic credit investing. We introduce credit instruments and outline a simple framework for understanding sources of credit excess returns. We summarize two avenues for approaching systematic credit investing (and provide many references for readers interested in greater depth): 1) strategic and tactical exposure to the overall credit risk premium and 2) relative value opportunities across credit instruments. We find that both kinds of systematic credit exposure have the potential to provide meaningful performance and diversification benefits to traditional and alternative portfolios.
The information contained herein is only as current as of the date indicated, and may be superseded by subsequent market events or for other reasons. The views and opinions expressed herein are those of the author and do not necessarily reflect the views of AQR Capital Management, LLC, its affiliates or its employees. This information is not intended to, and does not relate specifically to any investment strategy or product that AQR offers. It is being provided merely to provide a framework to assist in the implementation of an investor’s own analysis and an investor’s own view on the topic discussed herein. Past performance is not a guarantee of future results.