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Common risk measures in equities include the volatility of price return and beta measuring price sensitivity to market. However, in fixed income, volatility measures for bonds are not as straightforward as equities. First, it can be challenging to obtain reliable daily prices for bonds that do not trade every day. Second, using the simple measure…
Factor-based investing in equities is a well-established concept supported by over four decades of research. However, factor-based investing in fixed income remains in its nascent stages. Our analysis has found that factor-based fixed income strategies implemented in a rules-based, transparent index can represent an alternative tool for fixed income portfolio construction. In the next few…
