FIXED INCOME ETFS: Choosing your mood music

" Lionel Martellini, director at the EDHEC-Risk Institute, believes the fixed income sector is the new frontier in the development of meaningful smart factor investment solutions in the fixed i ...

Cited As:

" Lionel Martellini, director at the EDHEC-Risk Institute, believes the fixed income sector is the new frontier in the development of meaningful smart factor investment solutions in the fixed income space, but that more research is needed. One reason is that the first generation of smart beta in fixed income markets was based on a direct transfer of fundamental indexing methodologies originally developed for equities. “The key problem in this approach is that it is unclear why some backward-looking trailing average of some arbitrarily selected variables should contain more useful information than, say, bond ratings, which for all their flaws are based on a much richer information set,” says Martellini."

Type: Press article
Date: le 06/12/2018
Research Cluster : Finance
Source : Funds Europe.com

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