FTSE Russell

FTSE Fixed Income Research Series — The Value Effect

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.

Read the complete white paper at the link beneath Related Files

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What’s new

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