The same benefits that exist for equity ARP apply to credit ARP

The same benefits of investing in style factors for equities also applies to credit investing. This should not be surprising given the link between the value of debt and the firm. As measured by MSCI indices, a breakdown of styles for rates with risk measured by duration shows quality, size, volatility, value, and carry all provide either higher return, lower risk, or an increase in return to risk. These benefits exist even after accounting for transaction costs.

However, like style factors for other asset classes, the return behavior is time-varying and moves with business cycle changes. The information ratio variation across the business cycle changes with style. Quality, for example, does poorly during a recovery, but carry will do well. Similarly, value will do well during a recovery, but a low risk strategy will underperform. 

It is clear that a multi-strategy approach that blends style factors will improve return with only a slight increase in risk. Credit investing can be improved through looking at style factors. This increases credit opportunities for investors even in a low interest rate environment.