Investment Strategies on Bank Bonds in Developed and Emerging Markets

Significant market volatility and lower interest rates around the world caused by the pandemic of COVID-19 made investors switch their attention to more stable income financial instruments, specifically, to the bonds. Hence, the aim of our research is to test the investment strategies on bank bonds of Russia, India, and South Korea. In the first part of the research, the bank's indicators – factors that have a significant impact on the benchmark spread of bond debt, chosen as a measure of credit risk, are discussed. In the second part of the research, returns of portfolios based on direct and reverse factor strategies (changes in the indicator), and the returns of indices of the price movement of government bonds of countries over the same investment period are compared. As the result, the hypotheses that portfolios can overtake the index were partially confirmed.