Fundamental Indexing on the Fixed Income Market

Tomasz Miziołek

Abstract


Fundamental indexing on the fixed income market is an alternative to traditional – using market capitalisation – method of weighting bonds in the index portfolio. It involves the determination of weights for individual debt securities based on fundamental factors that show the potential ability to service debt and creditworthiness of issuers – companies or states. Indices of this kind have been running since recently and are used by comparatively few financial institutions, but their significance is expected to grow because – as the research shows – they generally offer higher returns and risk-adjusted performance.


Keywords


fundamental indexing; fixed income instruments; exchange-traded funds

Full Text:

PDF (Język Polski)

References


Amenc N., Goltz F., Martellini L., Improved Beta? A comparision of index weighting schemes, “Journal of Indexes” 2011, Vol. 14(1).

Arnott R.D., Hsu J.C., Li F., Shepherd S.D., Applying Fundamental Index Methodology to Fixed Income, Working Paper 2007.

Arnott R.D., Hsu J.C., Li F., Shepherd S.D., Valuation-Indifferent Weighting for Bonds, “Journal of Portfolio Management” 2010, Vol. 36(3), DOI: http://dx.doi.org/10.3905/jpm.2010.36.3.117.

Arnott R.D., Hsu J.C., Moore P., Fundamental Indexation, “Financial Analysts Journal” 2005, Vol. 61(2), DOI: http://dx.doi.org/10.2469/faj.v61.n2.2718.

Bhansali V., Namvar E., Pukthuanthong K., Shepherd S.D., A Comparision of Municipal Bond Index Weighting Schemes, Working Paper 2010.

Bolla L., Fundamental Indexing in Global Bond Markets: The Risk Exposure Explains It All, “Financial Analysts Journal” 2017, Vol. 73(1), DOI: http://dx.doi.org/10.2469/faj.v73.n1.3.

Hsu J.C., Li F., Kalesnik V., Does Valuation-Indifferent Indexing Work for the Real Estate Market?, “Journal of Investing” 2010, Vol. 19(3), DOI: http://dx.doi.org/10.3905/joi.2010.19.3.072.

Hsu J.C., Shepherd S.D., Redefining the High Yield Credit Risk Premium, Working Paper University of California-Los Angeles and Research Affiliates 2011.

Jong M. de, Stagnol L., A fundamental bond index including solvency criteria, “Journal of Asset Management” 2016, Vol. 17(4), DOI: http://dx.doi.org/10.1057/jam.2016.15.

Jong M. de, Wu H., Fundamental indexation for bond markets, “The Journal of Risk Finance” 2014, Vol. 15(3), DOI: http://dx.doi.org/10.1108/JRF-05-2014-0060.

Miziołek T., Zaremba A., Indeksowanie fundamentalne na polskim rynku akcji, „Finanse. Rynki Finansowe. Ubezpieczenia” 2016, nr 1, DOI: http://dx.doi.org/10.18276/frfu.2016.79-06.

Shepherd S.D., A Fundamentally Weighted Broad-Based Fixed-Income Index, “Journal of Indexes” 2012, Vol. 15(1).

Tang H., Xu X.E., A Review of Fixed-Income Indexing and Index Investing, “The Journal of Wealth Management” 2017, Vol. 19(4), DOI: http://dx.doi.org/10.3905/jwm.2017.19.4.085.

Thomas C.J., Bennyhoff D.G., A review of alternative approaches to fixed income indexing, “Journal of Indexes” 2012, Vol. 15(1).




DOI: http://dx.doi.org/10.17951/h.2017.51.5.211
Date of publication: 2017-12-22 12:02:51
Date of submission: 2017-04-26 20:30:27


Statistics


Total abstract view - 443
Downloads (from 2020-06-17) - PDF (Język Polski) - 0

Indicators



Refbacks

  • There are currently no refbacks.


Copyright (c) 2017 Tomasz Miziołek

Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 International License.