Fundamental Indexing in Global Bond Markets: The Risk Exposure Explains It All

Lidia Bolla

Financial Analysts Journal, 2017, vol. 73, issue 1, 101-120

Abstract: To investigate the fundamental indexing methodology, I apply it to global government bond markets and examine its exposure to several newly introduced risk factors. I find that the fundamental indexing approach outperforms a market-value-weighted index. However, my results show statistically significant and economically relevant exposures of fundamentally weighted indexes to the risk factors term and duration risk, default risk, convexity risk, liquidity risk, and carry trade risk. The increased risk exposure explains the outperformance of the fundamental indexing methodology in government bond markets.Editor’s notes:Submitted 7 August 2015Accepted 7 July 2016 by Stephen J. Brown

Date: 2017
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.2469/faj.v73.n1.3 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:ufajxx:v:73:y:2017:i:1:p:101-120

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/ufaj20

DOI: 10.2469/faj.v73.n1.3

Access Statistics for this article

Financial Analysts Journal is currently edited by Maryann Dupes

More articles in Financial Analysts Journal from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().