Fundamental Indexation for Developed, Emerging, and Frontier Government Bond Markets

Journal of Asset Management, Forthcoming

28 Pages Posted: 14 Mar 2017

See all articles by Vanja Piljak

Vanja Piljak

University of Vaasa - Department of Accounting and Finance

Laurens Swinkels

Erasmus University Rotterdam (EUR); Robeco Quantitative Investments

Date Written: March 10, 2017

Abstract

We examine the risk and return characteristics of fundamental weighting schemes for developed, emerging, and frontier government bond markets; and compare these to market capitalization weighted indexes. We document positive excess returns for the investment grade sample only when currency risks are not hedged, suggesting that fundamentals might be more important for currency rather than bond returns. For emerging and frontier markets, we find positive excess returns for fundamental weighting schemes, although not always statistically significant. The excess returns from fundamental weighting schemes for government bonds can be explained by standard factors from equity, currency, or bond markets.

Keywords: Bond Markets, Currencies, Emerging Markets, Fixed Income, Investing

JEL Classification: F30, F31, F34, G11, G12, G14, G28

Suggested Citation

Piljak, Vanja and Swinkels, Laurens, Fundamental Indexation for Developed, Emerging, and Frontier Government Bond Markets (March 10, 2017). Journal of Asset Management, Forthcoming. Available at SSRN: https://ssrn.com/abstract=2891531

Vanja Piljak

University of Vaasa - Department of Accounting and Finance ( email )

P.O. Box 700
FIN-65101 Vaasa, FI-65101
Finland

Laurens Swinkels (Contact Author)

Erasmus University Rotterdam (EUR) ( email )

Burgemeester Oudlaan 50
3000 DR Rotterdam, Zuid-Holland 3062PA
Netherlands

Robeco Quantitative Investments ( email )

Rotterdam, 3000
Netherlands
+31 10 224 2470 (Phone)
+31 10 224 2110 (Fax)

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