iBoxx Yield Select is a new bond factor index framework for the yield hungry but risk wary investor. It captures the credit carry factor, aiming to provide yield enhancement but with lower risk. The method should be of interest to investors pursuing yield but also seeking some control around their duration, credit quality and sector exposures.
Our findings show that risk controlled versions of iBoxx Yield Select (applied to the USD and EUR IG bond markets) can offer:
- Higher yield, similar duration and out-performance versus the market benchmark
- Better risk-adjusted returns versus pure carry strategies
- Lower draw-down, tracking error and beta against the benchmark, compared to an unconstrained carry strategy
iBoxx Yield Select is simple, transparent and practicable across different markets. The framework allows for index customisation to suit a variety of investor profiles and needs.
Find out more about flexible and straightforward strategies to construct yield enhanced indices under the iBoxx Yield Select framework.