Bloomberg Index Research

BCOM: The Commodities Benchmark

Commodities are typically used within a portfolio to diversify, hedge against inflation, or gain exposure to the economic cycle. The Bloomberg Commodities Index (BCOM) is the market leading commodities benchmark intended to address investor’s four benchmark requirements of liquidity, economic significance, diversification, and continuity.

Enhancing Roll Yield: A more Liquid and Diversified Index

The Bloomberg Enhanced Roll Yield index provides diversified exposure to commodity markets. Using a rules-based approach, the benchmark accounts for slope variations across commodities and takes exposure along the curve. In this research, we explain the drivers of return, portfolio characteristics and historical performance of the benchmark.

Commodity Investment Insights: Rolling along the curve

In this report, our experts re-assess the role of commodity benchmarks within multi-asset portfolios, referencing the Bloomberg Commodity (BCOM) and Bloomberg Commodity 3 Month Forward (BCOMF3) benchmarks.

Commodities Investment Insight: ESG comes to town

In this report, we use Bloomberg corporate ESG data and the Bloomberg Industry Classification Standard (BICS) to construct greenhouse gas (GHG) estimates for each metal that is a constituent of the Bloomberg Commodity Index (BCOM) benchmark.

Commodities Investment Insight: Examining sector characteristics and asset allocation

In this publication, we focus on using commodity sectors as investment building blocks, analyzing sector risk and return characteristics and outlining a transparent, rules-based approach to constructing alternative-weight, risk-balanced benchmark indices

Commodities Investment Insight: Inflation and commodities – Examining the link

This research focuses on the properties of commodities returns in relation to U.S. inflation, with the analysis broken into two parts: Assessing the linear relationship between inflation and commodities returns, and examining commodities’ return characteristics, controlling for the level of inflation.

Asset Allocation Insights: From fixed weights to all-weather

In this research paper, our experts examine the use of a popular investment style to adapt a fixed weight portfolio to be less cyclical in nature.

Diversified trend following: Quantitative investment strategies

Here we discuss the drivers and properties of the returns on diversified portfolios of trend strategies, illustrate how relatively simple strategies provide access to the “CTA factor” and discuss the role of diversified trend portfolios in asset allocation.

Liquid momentum strategies: Diversification through risk premium rotation

In this report, we explore momentum from a practice perspective in its simplest form across four liquid markets: Commodity futures, equity index futures, currency forwards and US Treasury futures

Sequencing the Strategy Genome: Risk premia

This report offers a practical approach to risk premia, beyond traditional market beta, building on our experience of liquid, tradable index products.

Benchmarking Alternative Risk Premia

In this publication, we propose a framework to consolidate the performance of various alternative risk premia strategies into a single benchmark that encompasses this investment space. We introduce the Bloomberg GSAM Cross Asset Risk Premia Index—a diversified, cross-asset class, multi-risk premia index—as well as more granular sub-indices in the index family that focus on specific investment styles.

Crypto Insights: The impact of volatility targeting

In this paper, we compare crypto returns versus those of traditional asset classes, and assess how volatility targeting affects the inclusion of cryptos in a multi-asset framework.

Anomaly or Capital Structure Efficient: Low volatility equity strategies

In this research, we explore the perceived anomaly of equities’ negative relationship between risk and return of individual stocks.

ESG Investment Insights: Understanding the Bloomberg MSCI Euro Corporate Climate Paris Aligned ESG Select Index

In this paper, we demonstrate how applying risk management techniques into a PAB index constituency can help investors go well beyond minimum requirements.

ESG Investment Insights: ESG and the US Corporate bond index performance during the COVID-19 crisis

This careful analysis reveals that high ESG (and particularly Governance) ratings provided a small benefit, consistent with longer-term historical analysis.

ESG Investment Insights: Benefits and challenges in extracting signals from ESG data

This quantitative research details a customizable approach to the use of raw ESG data, and includes an implementation in which better ESG performance is correlated with lower risk.

Reducing Downside Risk with ESG: The case of the US Corporate Index

In this report, we present our research on the impact of ESG considerations in terms of downside risk, in the context of the Bloomberg US Corporate (Investment Grade) Index.

Managing Downside Risk with ESG: The case of the Global High Yield Index

In this report, we continue our investigation of the impact of ESG considerations on downside risk of fixed income portfolios benchmarked to Bloomberg Fixed Income Indices, focusing on the Global High Yield Corporate Index.

ESG Investment Insights: Achieving Multiple Goals Through Optimization

In this paper, we argue that portfolio optimization is a more natural method for constructing ESG-aware portfolios than the traditional construction techniques using weight tilting functions or quantile bucketing.

Why Ratings Matter

Corporate bonds are typically categorized by credit ratings, but we can occasionally shrug off ratings as they are slow moving and often late in their reaction. However, the impact of ratings on performance is quite significant, and BB rated bonds have offered the highest risk-adjusted performance over the past three decades.

Diving into the Mortgage Pool Whitepaper

Mortgage-backed security (MBS) can be an attractive addition to an investor’s portfolio, based on the implicit or explicit government guarantee, relative value to other fixed income assets, and significant presence within the US fixed income markets.

Emerging Markets Investment Insights: Managing currency risk in bond portfolios

In this paper, we showcase a tradeable currency basket that investors can use to manage risks.

Diversifying Risks in Fixed Income Portfolios: Risk-balanced index construction

In this publication, we consider how risk-based portfolio construction can be applied to create alternative fixed income benchmark indices.

Performance of Style Portfolios in Credit Markets

This research focuses on the performance of tradable style portfolios in U.S. and European Investment Grade markets, and High Yield markets. We also summarize the economic intuition behind each premium, the portfolio implementation assumptions, turnover and assumed historical transaction costs.

Emerging Markets Investment Insight: Has performance met expectations?

In this report, we assess the performance of enhanced yield and diversified funding strategies, and in the process highlight the relative performance of the associated factors.

Emerging Markets Investment Insight: Hard currency bond benchmarks – Investigating the carry factor

In this publication, we assess the dynamics between U.S. interest rate risk and EM credit risk, particularly whether an optimization-based approach can enhance portfolio returns by tilting exposures based on the carry factor.

Emerging Markets Investment Insight: Local bond benchmarks – Yield tilts and funding diversification

In this research, we explore whether exposure to EM cash bonds through duration, currency and credit derivative instruments can be used to enhance benchmark performance.

A Toolkit for Hedging Inflation

In this research, we divide our analysis into four segments: examine the impact of realized and inflation expectations on fixed income indices and highlight the nature of this relationship, determine the inflation hedging capabilities of the U.S. TIPS Index, explore how investors can gain exposure to inflation expectations and assess the implications of adding a long position in inflation expectations to a nominal bond portfolio.

Bloomberg China Fixed Income Indices Report

In this publication, we provide an essential digest of everything happening in the world of the Bloomberg China Fixed Income Indices. Reports include the latest performance, rebalancing highlights and in-depth analysis from our experts.