The Bonding with Style Investing blueprint was first introduced in the Quantamental Research & Solutions Whitepaper, Bonding with Style Investing: Value and Momentum in Corporate Bonds.

The application of 'smart beta' strategies is expanding into corporate bonds, beyond its equity roots. This paper explores value, momentum, and short-term reversal styles in fixed income, highlighting the potential to enhance returns and diversify portfolios. The workflow shows how to use value and momentum strategies in iBoxx U.S. investment-grade (USIG) and high-yield (USHY) bonds to generate statistically significant alpha, with low correlations to the comparable equity styles and markets premia.

This Blueprint includes:

• Government, Supranational, Agency and Corporate (GSAC) Bond Pricing: This dataset provides independent bid-offer pricing, analytics, and liquidity measures for over 200,000 global bonds. Intraday and end-of-day price updates are used across organizations, starting from the front-office for price discovery on frequently quoted bonds, and in the middle- and back-office for risk management, valuations.
• Government, Supranational, Agency, Corporate (GSAC) Reference Data: This dataset provides a comprehensive repository for meticulously tracking security terms and conditions from their inception to maturity across over 750,000 active global instruments.
• S&P IHS Markit iBoxx Indices: This dataset consists of rules-based fixed income indices that can be easily replicated. iBoxxTM bond indices offer broad benchmarking and liquid tradable index solutions that track bond markets globally.
• S&P Capital IQ Workbench: A web-based notebook environment that allows you to perform data analysis or build models using collaborative notebooks that support multiple languages, built-in data visualizations, and automatic versioning.