RECHERCHE ET PUBLICATIONS

A Review of Corporate Bond Indices: Construction Principles, Return Heterogeneity, and Fluctuations in Risk Exposures

This paper analyses two sets of four corporate investment-grade bond indices each, one for the US market and the other for the euro-denominated bond market.

Auteur(s) :

Felix Goltz

Head of applied research at EDHEC-Risk Institute.

Carlos Heitor Campani

Research assistant at EDHEC-Risk Institute

First, we review the uses of bond indices as well as the challenges involved. We then analyse the risk-return properties and the heterogeneity of the indices in each set. Although the indices in each market resemble each other, there are still some differences. Moreover, an analysis of the stability of the indices' risk exposures (interest rate and credit risks) reveals very unstable measures over time and, perhaps most importantly, this instability is accentuated in the two indices with the smallest number of bonds: the more investable the index is meant to be, the less reliable it is. Finally, we find great differences between US and euro-denominated indices: US corporate bond indices showed higher credit risk, with longer terms to maturity and hence longer durations. Therefore, choosing a bond index in US or in Europe seems to be more than just choosing a currency exposure. We ultimately conclude that investors must be aware not only of what bond indices represent but also of how such key features as risk exposures will evolve over time.
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A Review of Corporate Bond Indices: Construction Principles, Return Heterogeneit...
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Type : Publication EDHEC
Date : le 24/06/2011
Complément d'informations For more information, please contact Joanne Finlay, EDHEC Research and Development Department [ joanne.finlay@edhec.edu ] The contents of this paper do not necessarily reflect the opinions of EDHEC Business School.
Pôle de recherche Finance

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For more information, please contact Joanne Finlay, EDHEC Research and Development Department [ joanne.finlay@edhec.edu ]

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Journal of Portfolio Management (2014 ; 2015 ; 2016), Journal of Index Investing (2013), Financial Analyst?s Journal (2011), Bankers, Markets & Investors (2012 ; 2011 ; 2010), Journal of Indexes (2011), Journal of Derivatives (2009), Journal of Alternative Investments (2009 ; 2010), European Financial Management (2009), Journal of Derivatives (2009), Journal of Fixed Income (2006), European Financial Management (2007)

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Journal of Portfolio Management (2014 ; 2015 ; 2016), Journal of Index Investing (2013), Financial Analyst?s Journal (2011), Bankers, Markets & Investors (2012 ; 2011 ; 2010), Journal of Indexes (2011), Journal of Derivatives (2009), Journal of Alternative Investments (2009 ; 2010), European Financial Management (2009), Journal of Derivatives (2009), Journal of Fixed Income (2006), European Financial Management (2007)

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We then analyse the risk-return properties and the heterogeneity of the indices in each set. Although the indices in each market resemble each other, there are still some differences. Moreover, an analysis of the stability of the indices' risk exposures (interest rate and credit risks) reveals very unstable measures over time and, perhaps most importantly, this instability is accentuated in the two indices with the smallest number of bonds: the more investable the index is meant to be, the less reliable it is. Finally, we find great differences between US and euro-denominated indices: US corporate bond indices showed higher credit risk, with longer terms to maturity and hence longer durations. Therefore, choosing a bond index in US or in Europe seems to be more than just choosing a currency exposure. We ultimately conclude that investors must be aware not only of what bond indices represent but also of how such key features as risk exposures will evolve over time. 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Journal of Portfolio Management (2014 ; 2015 ; 2016), Journal of Index Investing (2013), Financial Analyst?s Journal (2011), Bankers, Markets & Investors (2012 ; 2011 ; 2010), Journal of Indexes (2011), Journal of Derivatives (2009), Journal of Alternative Investments (2009 ; 2010), European Financial Management (2009), Journal of Derivatives (2009), Journal of Fixed Income (2006), European Financial Management (2007)

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Journal of Portfolio Management (2014 ; 2015 ; 2016), Journal of Index Investing (2013), Financial Analyst?s Journal (2011), Bankers, Markets & Investors (2012 ; 2011 ; 2010), Journal of Indexes (2011), Journal of Derivatives (2009), Journal of Alternative Investments (2009 ; 2010), European Financial Management (2009), Journal of Derivatives (2009), Journal of Fixed Income (2006), European Financial Management (2007)

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Journal of Portfolio Management (2014 ; 2015 ; 2016), Journal of Index Investing (2013), Financial Analyst?s Journal (2011), Bankers, Markets & Investors (2012 ; 2011 ; 2010), Journal of Indexes (2011), Journal of Derivatives (2009), Journal of Alternative Investments (2009 ; 2010), European Financial Management (2009), Journal of Derivatives (2009), Journal of Fixed Income (2006), European Financial Management (2007)

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Journal of Portfolio Management (2014 ; 2015 ; 2016), Journal of Index Investing (2013), Financial Analyst?s Journal (2011), Bankers, Markets & Investors (2012 ; 2011 ; 2010), Journal of Indexes (2011), Journal of Derivatives (2009), Journal of Alternative Investments (2009 ; 2010), European Financial Management (2009), Journal of Derivatives (2009), Journal of Fixed Income (2006), European Financial Management (2007)

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Journal of Portfolio Management (2014 ; 2015 ; 2016), Journal of Index Investing (2013), Financial Analyst?s Journal (2011), Bankers, Markets & Investors (2012 ; 2011 ; 2010), Journal of Indexes (2011), Journal of Derivatives (2009), Journal of Alternative Investments (2009 ; 2010), European Financial Management (2009), Journal of Derivatives (2009), Journal of Fixed Income (2006), European Financial Management (2007)

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We then analyse the risk-return properties and the heterogeneity of the indices in each set. Although the indices in each market resemble each other, there are still some differences. Moreover, an analysis of the stability of the indices' risk exposures (interest rate and credit risks) reveals very unstable measures over time and, perhaps most importantly, this instability is accentuated in the two indices with the smallest number of bonds: the more investable the index is meant to be, the less reliable it is. Finally, we find great differences between US and euro-denominated indices: US corporate bond indices showed higher credit risk, with longer terms to maturity and hence longer durations. Therefore, choosing a bond index in US or in Europe seems to be more than just choosing a currency exposure. We ultimately conclude that investors must be aware not only of what bond indices represent but also of how such key features as risk exposures will evolve over time. 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Journal of Portfolio Management (2014 ; 2015 ; 2016), Journal of Index Investing (2013), Financial Analyst?s Journal (2011), Bankers, Markets & Investors (2012 ; 2011 ; 2010), Journal of Indexes (2011), Journal of Derivatives (2009), Journal of Alternative Investments (2009 ; 2010), European Financial Management (2009), Journal of Derivatives (2009), Journal of Fixed Income (2006), European Financial Management (2007)

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Journal of Portfolio Management (2014 ; 2015 ; 2016), Journal of Index Investing (2013), Financial Analyst?s Journal (2011), Bankers, Markets & Investors (2012 ; 2011 ; 2010), Journal of Indexes (2011), Journal of Derivatives (2009), Journal of Alternative Investments (2009 ; 2010), European Financial Management (2009), Journal of Derivatives (2009), Journal of Fixed Income (2006), European Financial Management (2007)

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We then analyse the risk-return properties and the heterogeneity of the indices in each set. Although the indices in each market resemble each other, there are still some differences. Moreover, an analysis of the stability of the indices' risk exposures (interest rate and credit risks) reveals very unstable measures over time and, perhaps most importantly, this instability is accentuated in the two indices with the smallest number of bonds: the more investable the index is meant to be, the less reliable it is. Finally, we find great differences between US and euro-denominated indices: US corporate bond indices showed higher credit risk, with longer terms to maturity and hence longer durations. Therefore, choosing a bond index in US or in Europe seems to be more than just choosing a currency exposure. We ultimately conclude that investors must be aware not only of what bond indices represent but also of how such key features as risk exposures will evolve over time. 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Journal of Portfolio Management (2014 ; 2015 ; 2016), Journal of Index Investing (2013), Financial Analyst?s Journal (2011), Bankers, Markets & Investors (2012 ; 2011 ; 2010), Journal of Indexes (2011), Journal of Derivatives (2009), Journal of Alternative Investments (2009 ; 2010), European Financial Management (2009), Journal of Derivatives (2009), Journal of Fixed Income (2006), European Financial Management (2007)

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Journal of Portfolio Management (2014 ; 2015 ; 2016), Journal of Index Investing (2013), Financial Analyst?s Journal (2011), Bankers, Markets & Investors (2012 ; 2011 ; 2010), Journal of Indexes (2011), Journal of Derivatives (2009), Journal of Alternative Investments (2009 ; 2010), European Financial Management (2009), Journal of Derivatives (2009), Journal of Fixed Income (2006), European Financial Management (2007)

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["title"]=> string(117) "A Review of Corporate Bond Indices: Construction Principles, Return Heterogeneity, and Fluctuations in Risk Exposures" ["log"]=> string(0) "" ["status"]=> string(1) "1" ["comment"]=> string(1) "0" ["promote"]=> string(1) "0" ["sticky"]=> string(1) "0" ["vuuid"]=> string(36) "4e165d57-1f39-4a07-b118-be98529fb0ce" ["nid"]=> string(5) "10375" ["type"]=> string(11) "publication" ["language"]=> string(3) "und" ["created"]=> string(10) "1474027664" ["changed"]=> string(10) "1480342532" ["tnid"]=> string(1) "0" ["translate"]=> string(1) "0" ["uuid"]=> string(36) "ebccbfb3-79cf-4775-bc89-a513bd228544" ["revision_timestamp"]=> string(10) "1480342532" ["revision_uid"]=> string(1) "1" ["body"]=> array(1) { ["und"]=> array(1) { [0]=> array(3) { ["value"]=> string(1108) " First, we review the uses of bond indices as well as the challenges involved. 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For more information, please contact Joanne Finlay, EDHEC Research and Development Department [ joanne.finlay@edhec.edu ]

The contents of this paper do not necessarily reflect the opinions of EDHEC Business School.

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Journal of Portfolio Management (2014 ; 2015 ; 2016), Journal of Index Investing (2013), Financial Analyst?s Journal (2011), Bankers, Markets & Investors (2012 ; 2011 ; 2010), Journal of Indexes (2011), Journal of Derivatives (2009), Journal of Alternative Investments (2009 ; 2010), European Financial Management (2009), Journal of Derivatives (2009), Journal of Fixed Income (2006), European Financial Management (2007)

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Journal of Portfolio Management (2014 ; 2015 ; 2016), Journal of Index Investing (2013), Financial Analyst?s Journal (2011), Bankers, Markets & Investors (2012 ; 2011 ; 2010), Journal of Indexes (2011), Journal of Derivatives (2009), Journal of Alternative Investments (2009 ; 2010), European Financial Management (2009), Journal of Derivatives (2009), Journal of Fixed Income (2006), European Financial Management (2007)

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We then analyse the risk-return properties and the heterogeneity of the indices in each set. Although the indices in each market resemble each other, there are still some differences. Moreover, an analysis of the stability of the indices' risk exposures (interest rate and credit risks) reveals very unstable measures over time and, perhaps most importantly, this instability is accentuated in the two indices with the smallest number of bonds: the more investable the index is meant to be, the less reliable it is. Finally, we find great differences between US and euro-denominated indices: US corporate bond indices showed higher credit risk, with longer terms to maturity and hence longer durations. Therefore, choosing a bond index in US or in Europe seems to be more than just choosing a currency exposure. We ultimately conclude that investors must be aware not only of what bond indices represent but also of how such key features as risk exposures will evolve over time. 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