A Factor-Based Strategy For Corporate Bonds

The $61.57 million IGEB also has some value characteristics.

“Then it leans into value with the remaining bonds in the universe,” said Morningstar. “Basically, it’s trying to maximize its default adjusted spread. It’s trying to adjust for the risk of default and then go after the bonds in the markets that have the highest spread relative to their default risk. I like this because in pursuing these value characteristics it’s trying to constrain the risk that it takes, both through the quality filters that it has in place, but also it has some additional constraints to limit how much interest-rate risk it can take or how much credit risk it can take.”

IGEB has an option adjusted spread of 122. Nearly 79% of the fund’s holdings are rated BBB.

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