Smart beta fixed income pdf

This conclusion was also the starting point of our natixis enhanced beta strategy applied. Index, smart beta and systematic active fixed income why blackrock for systematic fixed income. Our analysis provides strong support for the benefits of smart. When the assets and the broad market move in lockstep, the beta is assigned a value of 1, and the portfolio may be commonly referred to as beta. Yet, ironically, the case against the marketcapweighted paradigm appears even stronger for fixed income. Wisdomtree has been at the forefront of smart beta for some time, and we are now taking the next step forward for investors, and that is. This special report details the range of tools and strategies used to manage a fixed income portfolio. Kevin flanagan is senior fixedincome strategist at wisdomtree. In one sense, smart beta is more difficult in fixed income because of our old friend, math. A fixedincome strategy is key for investors who are retired or are approaching retirement.

Quantitative scienceactively adding to fixed income decisions. Similar to equity markets, standard government bond indices adopt a market capitalisation weighting scheme. Systematic fixed income strategies employ unique datadriven insights backed by disciplined risk controls that seek to deliver differentiated portfolio outcomes to investors. A factor approach to smart beta development in fixed income. Free ratings, analyses, holdings, benchmarks, quotes, and news. Three funds to consider factorbased investing strategies have taken the etf world by storm, with hundreds launched in the equities market. In this article, we discuss the concept of smart beta in fixed income. In fixed income indices, marketweighting can give greater exposure to the most indebted companies or countries. The first part describes the drawbacks of traditional benchmarks and analyzes the main factors driving fixed income returns. An evaluation of smart beta and other rulesbased active. Smart beta has become one of the most popular concepts in modern finance. Extend smart beta to fixed income investing so, lets think of a broad investment grade bond index like the us aggregate not simply as an amalgam of fixedincome sectors, but also as a combination of factor or risk premia. In our view, the primary concern of corporate bond investors is estimating the expected excess return above treasuries in order to justify additional.

Smart beta in fixed income van stuijvenberg financial services. Fixed income markets are first and foremost very macrodriven. From smart beta to enhanced beta in the fixed income world. Traditionally, the term beta has been used to describe the risk andreturn attributes of a particular asset class. The risk and return of broad fixed income indices can be largely explained by two risk factors. Eric balchunas, a bloomberg etf analyst, makes the case for fixed income smartbeta etfs.

He speaks with bloombergs scarlet fu on bloomberg markets. European investor research 2017 smart beta strategies. Smart beta would appear to make a lot of sense in fixed income, but lynn strongin dodds finds the peculiarities of the market introducing complexity to many of. For this and other reasons, smart beta solutions in fixed income are likely to take a different shape than in equities. At natixis asset management we believe that hybrid solutions combining pure passive and active discretionary approaches could be a better fit for fixed income. Can smart beta play a role for fixed income investing as well.