fixed income relative value trading strategies

beta (or factor investing ) seems to be the product du jour in ETFs. . When displayed, thumbs up / down vote counts represent whether people found the content helpful or not helpful and are not intended as a testimonial. The specific indices used are as follows: The results are hypothetical results and are NOT an indicator of future results and do NOT represent returns that any investor actually attained.

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For example, if both the value portfolio and the momentum portfolio would be short-intermediate term investment grade sector then it would be completely avoided in the long-only portfolio and its weight would be used elsewhere. . As you can see from the summary stats above, even the long-only factor portfolio has an excess return with a similar volatility of the benchmark. . In the same month, BloombergBarclays Corporate 10 Year Corporate Bond Index had a nominal yield.96 (greater than the short-term bond index nominal yield) but had a real yield.17 (less than the real yield of the short-term bond index). Another difference between the fixed-income market and the equity market is the importance of institutional investors. (See also: Comparing Institutional and Retail Traders. This can have a profound effect on liquidity, and make it difficult to get into or out of a trade when you want, or at the price you expect. However, there are also several advantages that smaller investors may have. The next natural question is as follows: Are these results actually value and momentum in fixed income markets or are these results something new/different? . Join thousands of other readers and subscribe to our blog.