Bringing you live news and features since 2006 

Ossiam develops smart beta strategy for corporate bonds

RELATED TOPICS​

Exchange-traded fund manager Ossiam has developed a smart beta strategy for investment in corporate bonds using Moody’s Analytics EDF (Expected Default Frequency) credit measures.

The strategy will be the first risk-based credit strategy specifically designed to provide systematic long-only exposure to a liquid portfolio of investment-grade corporate bonds.
 
The strategy will select bonds based on Moody’s Analytics forward-looking EDF, as well as other credit measures. The measures capture the credit insight of the equity markets and combine it with a detailed picture of each company's capital structure to produce a credit spread valuation framework.  This will help investors to access a credit benchmark with cost-efficient and liquid exposure to a high quality corporate credit sector.
 
Ossiam is the specialist smart beta investment manager and an affiliate of Natixis Global Asset Management (NGAM).
 
The selection methodology used creates a liquid and investable bond portfolio, taking advantage of Moody’s Analytics credit research in a systematic way. The new strategy will have the following features:
 
• Sound credit modelling techniques based on academic research, already tested in numerous industrial credit risk applications
• Selection of quality bonds that tend to be undervalued
• Integrated risk-management to prevent excess portfolio concentration and uncontrolled duration drift
• An easily replicable portfolio with intraday liquidity, for example via an ETF

Latest News

Morningstar has published a review of the European ETF market for the first quarter 2024, which finds that it gathered..
ETF data consultant ETFGI reports that assets invested in the global ETF industry reached a new record of USD12.71 trillion..
Calastone has published an ETF white paper which examines several of the processes that take place across the lifecycle of..
Adapting product lines to fit into changing methodologies and meet shifting demand is essential to remaining relevant in the industry..

Related Articles

ETFs
US ETF issuers of active ETFs are facing an increase in fees from the big custodian firms, such as Charles...
Taylor Krystkowiak, Themes ETFs
Themes ETFs opened its doors in December 2023, with an introductory suite of 11 ETFs – seven thematic and four...
Konrad Sippel, Solactive
At the end of March, financial index specialist, Solactive, published its 2024 annual report on future trends.  ...
Lorraine Sereyjol-Garros, BNP Paribas
Following changes to the French Monetary and Financial Code and of the French market authority AMF’s General Regulation, it is...
Subscribe to the ETF Express newsletter

Subscribe for access to our weekly newsletter, newsletter archive, updates on the site and exclusive email content.

Marketing by