Factor based investing andrew angel
Aggregate Bond Index. Strategically target attractive segments of the bond market One potential source of outperformance in fixed income is to strategically target segments of the market that may deliver attractive risk-adjusted returns. An example of this in the corporate bond market is fallen angels; formerly investment-grade-rated bonds that have recently been downgraded to high yield status. The chart below compares the 1-year trailing return difference between the Fallen Angel Index and the broad High Yield Index.
Over sustained periods of time, fallen angels have shown periods of outperformance—sometimes double digits—with relatively similar volatility as high yield bonds. Index performance is for illustrative purposes only. Index performance does not reflect any management fees, transaction costs or expenses. Indexes are unmanaged and one cannot invest directly in an index. Past performance does not guarantee future results.
Index performance does not represent actual Fund performance. For actual fund performance, please visit www. Clearly this strategy aims to provide an active-like outcome, benefitting from price rebounds in recently downgraded bonds that are more likely to return to investment grade. Security selection Fixed income active managers can also outperform the market by selecting better-performing bonds.
Research has shown that some managers reach for yield, causing the riskiest bonds within each credit rating to be bid up, and thus have low average returns. The following chart demonstrates that the lowest quality bonds have experienced higher levels of volatility while delivering disappointing total return. The figure shown relates to past performance. Past performance is not a reliable indicator of current or future results.
The plots show the historical performance of market value-weighted quintile portfolios Q1 to Q5 that measures the Quality distance to default for high yield bonds. Yield referenced is yield to worst YTW while volatility represents standard deviation of monthly returns. Standard deviation measures how dispersed returns are around the average.
A higher standard deviation indicates that returns are spread out over a larger range of values and thus, more volatile. Sharpe ratios are reported for the quintile portfolios. Their goal was to develop a drug. First, the framework will open up the dialogue between investors and portfolio managers about the specificities of their impact investments. Second, the framework gives portfolio managers a way to optimize how they achieve impact. The third application of the framework is performance attribution.
After a manager has made the investments and disclosed the projected performance to the allocator, the framework can calculate the actual performance. Filed Under:.
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