Hong Xie

Director, Global Research & Design
S&P Dow Jones Indices
Biography

Hong Xie is Director, Global Research & Design, at S&P Dow Jones Indices. Hong is the lead investment strategist in fixed income, covering the research and design of factor-based, smart beta, and thematic indices in fixed income, regularly publishing research papers in this field.

Prior to joining S&P Dow Jones Indices in 2014, Hong was head of fixed income and fund manager with Generali Investments Asia Ltd. managing the Asian Bond and Asian Credit Bond funds. Previously, Hong traded U.S. rates and derivatives with BNP Paribas and Lehman Brothers, and was a portfolio manager and trader in global fixed income with China Investment Corporation.

Hong is a CFA charterholder, and a member of the New York Society of Security Analysts (NYSSA) and the CFA Institute. Hong has a master’s degree in Computational Finance from Carnegie Mellon University.

Author Archives: Hong Xie

Credit Risk Measure in the S&P U.S. High Yield Low Volatility Corporate Bond Index

Common risk measures in equities include the volatility of price return and beta measuring price sensitivity to market.  However, in fixed income, volatility measures for bonds are not as straightforward as equities.  First, it can be challenging to obtain reliable daily prices for bonds that do not trade every day.  Second, using the simple measure Read more […]

Correlation Analysis of VIX® and High Yield and Emerging Market Bonds

The CBOE Volatility Index® (VIX) measures the implied volatility of the S&P 500® over a 30-day period.  It is widely followed by market participants across asset classes to gauge market sentiment.  Traditionally, fixed income market participants have incorporated it into macro analysis. Can VIX-related products be used as hedging tools for some bond sectors that Read more […]

Bridging the Volatility Gap between IG and HY

The goal of the S&P U.S. High Yield Low Volatility Corporate Bond Index is to construct a high-yield bond portfolio with low credit risk and low return volatility by applying a low volatility factor.  Does the index methodology truly deliver the effect of reducing volatility?  The back-tested results of the 17-year period ending Feb. 28, Read more […]

High Yield Bonds in a Rising Rate Environment

Since the “taper tantrum” back in 2013, the prospect of the Fed easing monetary policy has been one of the top concerns for global market participants.  The Fed has increased rates twice since then: once in December 2015 and again in 2016.  With more rate hikes expected and U.S. inflation firming up, long-term interest rates Read more […]

Performance Analysis of Unconstrained Bond Funds

Most unconstrained bond funds claim to offer the following potential benefits: Low correlation to core fixed income; Attractive risk-adjusted returns; and Actively managed downside risk mitigation. We examined each of these claims for the average performance of unconstrained bond funds since 2011 and noted that fund performance varied among them. Persistently Higher Correlation to the Read more […]

Growth and Surging Popularity of Unconstrained Bond Funds

In the aftermath of the global financial crisis of 2007-2008, one noticeable trend in fixed income investment is the growth and popularity of unconstrained bond funds.  They have generated strong interest in the investment industry due to the flexibility they offer in duration management and the broader investment universe.  Because they are not managed against Read more […]

Details of the Two-Factor Model

After identifying value and low volatility as factors that can effectively explain the return and volatility of an investment-grade corporate bond portfolio, we proposed a two-factor model to capture the security selection process of active corporate bond managers. The underlying universe for our study is the S&P U.S Issued Investment Grade Corporate Bond Index from Read more […]

Credit Spread and Low Volatility Factors

Factor Definition The fixed income investment community has long used volatility in analyzing bond valuations and identifying investment opportunities.  We have defined volatility as the standard deviation of bond yield changes for the trailing six-month period.  All else being equal, the more volatile the bond yield is, the higher the yield needs to be in Read more […]

Factor-Based Investing in US IG Corporate Bonds: Volatility and Credit Spread

Factor-based investing in equities is a well-established concept supported by over four decades of research. However, factor-based investing in fixed income remains in its nascent stages. Our analysis has found that factor-based fixed income strategies implemented in a rules-based, transparent index can represent an alternative tool for fixed income portfolio construction. In the next few Read more […]