Fixed Income Factor Investing
Dr. Daniel Seiler, Head of Multi Asset, Vontobel Asset Management
Dr. Yun Bai, Head of Factor Investing Research Multi Asset, Vontobel Asset Management
Register now for this SFI Master Class and participate either in person at the Renaissance Tower Hotel in Zurich or online.
Depending on the development of the pandemic situation, this Master Class can be changed into an online-only activity.
Current Situation
With continuing low central bank interest rates globally and unprecedented central bank purchases, fixed income investors are facing heightened challenges in their quest for positive returns. Additionally, the hunt for yield has led to concentrated risks in terms of positioning, liquidity and higher sensitivity to rate and spread risk, even for passive investors. In this environment, asset managers are finding it demanding to offer innovative solutions with attractive yields but also with lower correlations to existing risks in client portfolios. The latest thinking in bonds is that bond portfolios can benefit from a focus on factors (instead of just duration and rating), in the same vein as investments in equities. Nevertheless, practical implementation of factor investing is not straight forward due to the characteristics of fixed income instruments and the unique market structure.
Objective
The Master Class provides the background to understand factor models with a focus on the fixed income asset class. It reviews the most relevant factors from an academic point of view and discusses theory and practice of factor-based investing. The topics discussed during the afternoon are
• Industry challenges that give rise to alternative investment approaches
• Theoretical foundation of fixed income factors
• Discussion of some popular factor investing strategies in fixed income
• Considerations on how to incorporate factor investing in portfolio management
The format will be a combination of inputs, discussions, and group problem solving.
Target Audience
The Master Class is aimed at professionals in the financial industry who work in Institutional Banking, Asset- and Wealth Management, and as well in Investment Banking.
SAQ Recertification
This Master Class is an acknowledged SAQ recertification measure for the CWMA profile and comprises four learning hours.