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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 (Expected Default Frequency), as well as other credit measures.
These 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.
Moody’s Analytics is a leader in risk measurement and the development of credit risk and valuation analytics for risk and investment managers. It is distinct from Moody’s Investors Service, the credit rating agency.
The selection methodology used creates a liquid and investable bond portfolio, taking advantage of Moody’s Analytics credit research in a systematic way. When compared with standard long-only broad corporate bond indices, the new strategy will have several innovative features:
- Sound credit modeling 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.
Ossiam is headquartered in Paris and has more than €1 billion in assets under management. It is an affiliate of Natixis Global Asset Management, one of the world’s largest asset managers.
The provider has ETFs listed on all the major European stock exchanges, including Deutsche Boerse, Borsa Italiana, the London Stock Exchange, NYSE Euronext and SIX Swiss Exchange.