MSCI MarketAxess Tradable Corporate Bond Indexes: A Peek Under the Hood
Research Paper
November 22, 2023
Preview
MSCI MarketAxess Tradable Corporate Bond Indexes represent a liquid basket of securities that provide the respective beta of investment-grade and high-yield corporate-bond universes, across USD- and EUR-denominated securities. Sector- and credit-allocation controls embedded in these indexes' design allow them to capture and replicate the credit market with low tracking error. These indexes have exhibited characteristics, such as duration, spread and yield, similar to those of the parent index, as well as similar risk-adjusted performance.
Total-return performance of MSCI MarketAxess Tradable Indexes
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Sample period: Dec. 30, 2016, to Oct. 31, 2023. Index levels shown are without transaction costs and in local currency. Index statistics calculated using monthly index levels. Return and risk numbers are annualized.
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How Have Tradable-Bond Indexes Helped Investors Position in the Credit Market?
Tradable-bond indexes consist of the most liquid subset of corporate bonds. Maintaining sector and credit-bucket allocations consistent with the underlying benchmark, these indexes may help investors track the market while positioning in more-liquid securities.
MSCI MarketAxess Tradable Corporate Bond Indexes Methodology
The MSCI MarketAxess Tradable Corporate Bond Indexes ('the Tradable Bond Indexes') are designed to measure the performance of a selection of relatively liquid fixed income securities from the universe of corporate bonds defined by the underlying MSCI Corporate Bond Indexes ('the Parent Indexes').
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