There are a variety of widely-accepted metrics to define and capture the value factor in equities. But there has not been such a broadly-accepted approach to capture the value effect in fixed income.
This paper outlines FTSE Russell’s approach to the value factor utilizing a model-implied OAS framework to identify under and over-valued securities. The US investment-grade corporate bond market is used to showcase the steps of the study, and results are simulated across various global corporate bond markets as well.
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