BSIC Systematic Factor Investing in Credit

Code for the article on Systematic Factor Investing in Credit

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About the Code

The code is grouped in the following directories:

• src
  • preprocessing: data gathering from WRDS, openbondassetpricing.com, and CRSP, and Data Cleaning on the bond returns.
  • signals: partitioning the bonds in buckets and evaluating the signals for our strategy: value, equity momentum, credit momentum, and carry.
  • backtesting: backtesting the strategy and displaying the results.
• docs: the manual from openbondassetpricing.com which explains the variables in the DataFrame.

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