Most of the development in factor investing has centred around equities. This is not surprising since the asset class benefits from high liquidity, electronic trading, low execution costs and, crucially, availability of clean data. In contrast, factor-based investing in fixed income has yet to come into its own. This could be that fixed income benchmark indices are easy to beat with naïve exposure to credit risk. Does this mean all excess returns over their respective benchmarks are alpha? The short answer is, no. Rather pure outperformance, or pure alpha, is measured after excluding returns earned from exposure to factors. Therefore, when assessing exposure to credit risk and excess returns, factors inherent to a bond such as quality, value, carry and so forth, should first be considered, and not absolutely be interpreted as idiosyncratic return. From this perspective, investors can begin to separate the source of value-add from fundamental and systematic approaches in the investment process.